It only works if you are in Full Trust hosting and have NeatUpload enabled by using the Web.fulltrust.config, and then the ability to select multiple files at once also requires Flash enabled in the browser. Without Flash you can still upload multiple files but you have to select them one at a time using the add file button.
By default we ship mojoportal pre-configured for Medium Trust since that is the most common hosting, so if you have Full Trust it requires renaming the Web.config to Web.mediumtrust.config and renaming the Web.fulltrust.config to Web.config and restoring any customizations such as the machine key.
Hope that helps,
Joe