I agree that it's a Lion issue, because I"m having the exact same problem with .jpg and .png files in Photoshop. It keeps giving me the "application downloaded from the Internet" message, and I have to open each file individually. I'd love to find an answer to this problem.
I've found the solution is to drag, not double click. Dragging doesn't invoke the downloaded application warning. Inconvenient, but bearable change in workflow :\
Just wondering if you've found a way around this yet. I can't find anything on the net and it's really annoying each time I try to open multiple files in photoshop 😡. Would be really grateful for any suggestions 🙂
Interesting. I just tried it with 13 songs that I had and selecting all then double clicking worked. Then I downloaded two mp3's and tried it and it worked for me then also. I think your issue may be resulting from osx protecting you from internet downloaded files. I was able to reproduce what you are saying by downloading 2 sh (script) files.
If you are careful and are ok with disabling the warning message you could try running one of these in terminal.
1.
"xattr -d -r com.apple.quarantine ~/Downloads"
Obviously don't use quotes and replace the "~/Downloads" part with the folder that you want the warning disabled for. This just removes the "I was downloaded from the internet so warn the user" attribute on already downloaded files.
OR
2.
"defaults write com.apple.LaunchServices LSQuarantine -bool NO"
This one will disable the warning system for the whole system. This one is easy to reverse; simply run the command with YES instead of NO.