If you check the box "multiple instances" this means that you can start up BSPlayer more than once on the same PC.
http://forum.bsplayer.org/viewtopic.php?p=7131#7131
Consequently if you then select more video files they will each play separately but simultaneously (depending also on the capacity of your PC's CPU and graphics card of course).
If you wish to load more files to be played each in turn (which I think you probably mean) then switch off "multiple instances" and e.g. use playlist:
rightclick and select Playlist
then rightclick on Playlist
then e.g. select Add files (check the other possibilities later)
use the normal Windows options to select more files (with mouseclick and Shift or Control depressed) and then click on Open and the selected files will be added to the Playlist, to be played in the order of their appearance in the list. Is this what you mean?