You need to use the cdlOFNAllowMultiSelect flag. The help file states that the filenames are separated with spaces which is not correct when you use the Explorer style. Instead the filenames are separated with NULL characters. The first part only contains the path and the rest are the different filenames selected.
VB Code:
  1. Private Sub Command1_Click()
  2.     Dim strFile() As String, strPath As String
  3.     Dim n As Long, nCount As Long
  4.     On Error Resume Next
  5.     With CommonDialog1
  6.         .Flags = cdlOFNAllowMultiselect + cdlOFNExplorer
  7.         .CancelError = True
  8.         .InitDir = "C:\"
  9.         .DialogTitle = "Select File"
  10.        
  11.         .ShowOpen
  12.         If Err.Number <> cdlCancel Then
  13.             strFile = Split(.FileName, vbNullChar)
  14.             nCount = UBound(strFile)
  15.             If nCount = 0 Then
  16.                 'Only one file is selected so split up the path and the filename
  17.                 ReDim strFile(1)
  18.                 strFile(0) = Left$(.FileName, InStrRev(.FileName, "\"))
  19.                 strFile(1) = Mid$(.FileName, InStrRev(.FileName, "\") + 1)
  20.                 nCount = 1
  21.             End If
  22.             strPath = strFile(0)
  23.             If Right$(strPath, 1) <> "\" Then
  24.                 strPath = strPath & "\"
  25.             End If
  26.             For n = 1 To nCount
  27.                 If Len(Dir(FAVORITES_FOLDER & strFile(n))) = 0 Then
  28.                     FileCopy strPath & strFile(n), FAVORITES_FOLDER & strFile(n)
  29.                 End If
  30.             Next
  31.         End If
  32.     End With
  33. End Sub
Cheers,