Windows native dialogues are not the culprit, since this was first reported on Fedora, and both Linux and Windows releases of 0.46 use GTK dialogues. Windows native dialogues did not make the cut for 0.46.
So it seems that there's a problem in the way GTK dialogues are being used, as Windows 0.46 does exactly what David Barton reports for Fedora. You can select multiple files in the GTK open dialogue, but if you then click Open, nothing at all happens - the dialogue closes and you return to the previous document.
The Windows native dialogues in trunk do not allow multiple file selection at all, and thus don't get even as far as the GTK dialogue. That is a separate issue.
I can confirm on WinXP, latest build
In official 0.46 on WinXP using Ctrl won't select multiple files (maybe cos of Native win dialog)