To my knowledge, there is no way to do multiselect in Access 2002, which is what I currently have. I am not sure about the later versions. Chances are, if you don't see that option, it probably does not exist.
If the files have some kind of consistency, like when receiving EDI files, they might have the first few characters of the name all the same like EDI820, and then have some different digits for the last part of the file name for the date, like 050420, so the name is like this EDI820050420.txt, then you could set up code to read them in, but other than that, perhaps someone else will have an idea.
Sorry I could not be of more help. The other option would be to use VB6 or greater as the front end and use Access as the backend only.