SW2004 SP01 and SP02
Select three small SW files in Windows Explorer. Right click and select 'Open'. Only one file (typically the last selected file) is opened. Note that Windows Explorer is seemingly dead at this point. Close the file. Close SW. Like magic, another SW session opens with the second selected file. Close it and then SW. Once again, SW pops up with the first selected file shown.
Imagine what fun it is when you've selected 14 drawings including a few assemblies with many parts.
SW2003 and prior versions handle this correctly.
Also, the same behavior occurs when you drag multiple files from Explorer into an already open SW session.