Are you sure Silverlight or Flashplayer 10 is installled and enabled  in your browser?

If you installed two different version IE browser, for example, IE 8 32bit & IE8 64bit in same computer, and install flash player in IE8 32 bit, You will can select multiple files in IE8 32 bit, If you do not install Silverlight or Flashplayer in IE8 64Bit,  you will can not select multiple files in IE8 64Bit.

 

Regards,

Eric