On the Mac, Command-click downward thru the stack (Ctrl-click on Windows). Command-Option click upward thru the stack (Ctrl-Alt-click on Windows).
OS = Win 7 64 bit
I select 1 object
You mean click with the mouse?
This is not working.
Yes, with the mouse, but it will only work with objects that overlap where you are clicking.
There are default shortcuts for selecting the next objec above or below, Ctrl + Alt + ] or [ , respectively, that might help you. They won't be restricted to images, and may or may not work across layers -- I've never really used them.