If you need multiselection, you'd need to use a RadListControl (as opposed to a RadDropDownList) or RadGridView (as opposed to RadMultiColumnComboBox).
Because the RadDropDownList only has a single area to display a value, only one selection can be made.
In RadListControl, you can change the selection mode to 2 different multi selection modes as follows
.radListControl1.SelectionMode = SelectionMode.MultiSimple;
.radListControl1.SelectionMode = SelectionMode.MultiExtended;
Hope that helps