To use the multi-select feature, you'll need to turn FILTERS ON first. Then click the box of whatever column you are trying to filter on.
You should see a drop down with checkboxes for all of the available options in that column. Click each of the checkboxes that you would like to filter on and then click back on the field at the top. You must click this field in order for it to go away, once it goes away, press 'Enter' or 'Return' on your keyboard.