This is a problem for SW 2004 on XP only. There were no problems with SW
2003 on XP opening multiple docs, except on read-only files (see below).
There is a workaround though. If you select multiple files and "drag" them to the SW window it will open them all (I drag them to the SW window title bar). It will even open them better than SW 2003 did. In SW 2003, if the multiple files selected were set to "read only", as each one would try to open it would ask you if you wanted to open a read-only file. You would of course answer yes to each one. But the delay of answering this question would somehow cause SW to not open all of the files. If you were quick at answering the question, you might get 2 or 3 files open before it would simply stop opening them. By using the workaround of dragging them to the SW window, they will all open regardless of if they are "read-only" or if you answer the question quickly or not.
It is still a PITA to have to drag instead of right-click-open and a problem that they really need to fix.
Hope this helps.