You will need to make sure that your DW site is setup correctly and defined as a php type of site. Next you will need to ensure that you create a connection to your db and add a recordset to the page. You will need to ensure that you have this page saved to the site.
Once you have done this you should be able to use the show multiple checkbox if you have the recordset selected in the interface. Without having the recordset on the page first though you will not have access to this option.