I faced this before and you have 2 solutions:
-use low level recording
- use micCtrlDwn and micCtrlUp as follows:
'Press the Ctrl Down
' here you record your clicks normally to select your items from the list.
'smthg like Browser().Page().Obj().Click
'After picking the items press Ctrl UP
if you could provide with a site which has the same behavior as your site , so I could record the script for you and show you a live example.