In Crystal Reports XI:
1) Create a new parameter by selecting Parameters Fields from the Field Explorer, then select "New", or edit an existing parameter by right-clicking on the existing parameter and select Edit.
2) Under the Options section of the Parameter, select True from the drop down next to Allow multiple values, then select OK button.

In Crystal Reports 8.5:
1) Create a new parameter or edit a new parameter the same way as described above for version XI.
2) Under Options, mark the box labeled Allow multiple values and select the OK button.