I found VB code to deal with this, for anyone that wants to avoid some frustration. Obviously you'll have to substitute your own values in the code below for your needs, but you should be able to customize without too much hassle. Here is the code:

Protected Sub ProductSearch_LocationCheck_SelectedIndexChanged(ByVal sender As Object, ByVal e As System.EventArgs) Handles ProductSearch_LocationCheck.SelectedIndexChanged
        Dim SupplierSelections As Boolean = False
        Dim SupplierItem As ListItem
        For Each SupplierItem In ProductSearch_LocationCheck.Items
            If SupplierItem.Selected Then
                SupplierSelections = True
            End If
        Next

        If SupplierSelections = True Then
            Dim SupplierSqlString As String
            SupplierSqlString = "SELECT Products.ProductID, Products.ProductName, CONVERT(char(12),Products.OrderDate,0) AS OrderDate, Products.TimeToDeliver, CONVERT(decimal(6,2),Products.Cost,1) AS Cost, Products.Locality, FROM Products INNER JOIN SKUNumber ON Products.SKUNumberID = SKUNumber.SKUNumberID WHERE "

            For Each SupplierItem In ProductSearch_LocationCheck.Items
                If SupplierItem.Selected Then
                    SupplierSqlString &= "Products.LocationID = '" & SupplierItem.Value & "' OR "
                End If
            Next

            SupplierSqlString = Left(SupplierSqlString, Len(SupplierSqlString) - 4)
            SupplierSqlString &= "ORDER By Products.ProductName"
            ProductGrid_SQL.SelectCommand = SupplierSqlString
        End If
    End Sub

Hope it helps someone... 

Hi Gaucho,

Thanks so much, Gaucho. This will help others.

Thanks again!