Looks like I'm kind of late to the party, but wrote some blog posts a few years back that walk through a few possible options.

http://tavislovell.com/how-to-pass-a-multi-select-parameter-to-stored-procedure-from-reporting-services-ssrs/

I've been trying figure out how to do this too, and the best workaround I could think of outside of writing your own calendar control was exactly what JeffRush mentions...

I always just write a UDF that splits the comma seperated values, and then use 'IN' instead of '=' in my compare.

UDF looks like this.

/****** Object: UserDefinedFunction [dbo].[Split] ...

Just making sure I'm not the only one who missed this because of the typo. boo