This can be done declaratively. The following creates a checkbox column for each row and which can toggle row selections. The header of the checkbox column can be clicked to do a select all of the rows.
Relevant portions from the xaml
<Window x:Class="Window1"
xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
xmlns:toolkit="http://schemas.microsoft.com/wpf/2008/toolkit">
<toolkit:DataGrid Name="dataGrid"
ItemsSource="{Binding}" AutoGenerateColumns="True"
SelectionMode="Extended" CanResizeRows="False">
<toolkit:DataGrid.RowHeaderTemplate>
<DataTemplate>
<Grid>
<CheckBox IsChecked="{
Binding Path=IsSelected,
Mode=TwoWay,
RelativeSource={RelativeSource FindAncestor,
AncestorType={x:Type toolkit:DataGridRow}}}"
/>
</Grid>
</DataTemplate>
</toolkit:DataGrid.RowHeaderTemplate>
</toolkit:DataGrid>
</Window>
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