You need to select files that can all be opened with the same program in order for that option to appear. There are still things you can do with a selection of an assortment of file types though ...

Open one, two, three, or all the Microsoft Word files in a folder at the same time. Susan Harkins explains how to do it.

Switching between multiple open windows of the same program is a problem we try to solve in several ways. Sometimes you have applications that use tabs to view multiple files in one window.