We did this in a WTL project once, but the basic work needed is the same for .NET. To achieve a multiple selection tree control, you will need to draw the tree items yourself and override the keyboard and mouse handling. You will also need to maintain your own list of items that are selected.
Don't forget to consider selection rules (are parents and children allowed, for example), and don't forget to implement the keyboard shortcuts including selection using Ctrl, Shift, and Ctrl+Shift, as well as the Spacebar for selecting/deselecting.
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