The function simply waits for an object to change state to being "signaled". This state can occur for e.g. events (see CreateEvent) and thread handles. Unlike WaitForSingleObjectEx, WaitForMultipleObjects (as its name implies) can wait for such a signal to occur on one of a multitude of different handles, which are passed to it in an array.
The article found at http://www.codeproject.com/threads/WaitFunctions.asp df=100&forumid=23240&exp=0&select=1661357 gives a lengty description of the wait functions.