Below the map is a table with all the caches (assuming you are talking about Map Compare). Here you can select all caches by clicking the checkbox in the table heading or a range by clicking the first normally and then holding down shift and clicking the last. Click the Add button to add all selected caches to the VGPS.
On all maps, you can also use the sling tool. Go to the G-icon in the top left of the map. Select the polygon tool and draw an area on the map that contains the caches you want (you can adjust it afterwards by dragging if it doesn't turn out quite as you want). Then click the GPS+ icon in the same menu to add all caches in that area to the VGPS.
