Reporting Services Multi Value Parameter

I have an SSRS 2005 report that I want to enable for multi value. However, I always run into the issue with the way it passes multiple values. How exactly do I get a multi-value parameter setup and working on both the report AND SQL side?

I used the MS example of checking the multi checkbox for the parameter and then using a WHERE Column IN (@MultiParam), but this doesn't work. When you select one item, or is it multiple I can't remember, it fails. I really appreciate the help!