Since this option doesn't seem to be included, you could create your own version, with a ListBox. Multi-selecting - when it is enabled - is usually done with Ctrl-Click and Shift-Click.
>How do you select multiple files while Open File Dialog box is opened?
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>After we select them, we want to be able to pass them to SQL
Difference in opinions hath cost many millions of lives: for instance, whether flesh be bread, or bread be flesh; whether whistling be a vice or a virtue; whether it be better to kiss a post, or throw it into the fire... (from Gulliver's Travels)