Well, SSRS is cheating a bit to make this possible when you are using multi valued parameters.

Here is an example how to work with it. http://sqlblogcasts.com/blogs/simons/archive/2007/11/22/RS-HowTo---Pass-a-multivalue-parameter-to-a-query-using-IN.aspx.

An other option is to use the JOIN function when passing the parameter to the stored procedure, which is described over here: http://social.msdn.microsoft.com/Forums/sqlserver/en-US/c02370b5-aeda-47ec-a3a8-43b2ec1e6c26/reporting-services-multi-value-parameter.