IE should support multiple according to this doc:
http://msdn.microsoft.com/en-us/library/ie/hh772307(v=vs.85).aspx
But even so, their own example does not work with IE9 for me..
<input type="file" multiple="multiple" onchange="for (var i = 0; i < this.files.length; i++) { document.write(this.files[i].name ) };" />
When the onchange event fires, the files property doesn't appear to exist for the HTMLInputElement in IE, whereas in Chrome it does.
Update: this doc apparently doesn't apply to IE9. IE 10 is said to support the File API. Let's hope it will be released soon.