An empty multiple selection object is created with a call to IFileDocument.CreateEmptySelection method. This means that you must have a valid File Document object in order to create a multiple selection object.
var fdoc = new ActiveXObject("FileDocument.FileDocument");
var msel = fdoc.CreateEmptySelection();
// work with msel object
Created object is not related to the document object, may live longer that its creator and may be used in calls to methods provided by other document objects.