Assuming the screen you are trying to multi-select is NOT a GI and the field you talk about is the class selector field, Yes you can by customization. You will need to modify both selector properties/associated methods/page and add a dataview delegate.

In the reporting tool itself, this is unforutnately not currently an available feature.  Our work around at my office is to create several drop down pickers with the same values.  Our end users will select the five or six options they need and then save that as a report template for future use.