The functionality of the command has been changed in order to support the additional file formats that can be now be attached in AutoCAD 2010
You can continue to attach multiple .dwg files using the:
1. CLASSICXREF command.
2. Typing SDI into the command line and setting the variable to 1*
3. Modifying the XREF command in the CUI
*Please note that this will limits some of the functionality of the XREF command