I don't think it's really important to have a direct way to do it in the UI, so long as it's possible, which of course it is thanks to drag and drop from explorer. However it's a bit cryptic, which is why I came to this forum requesting exactly the same thing before I found out in this thread that it was possible (hurray for search!)
So my request is, could we make this more obvious in the UI so that no-one needs to come to this forum to find this out? I was initially thinking that there could be an extra button whose tooltip was "add multiple files/folders" that just brought up a dialogue saying "to do this, drap and drop from Windows explorer or another file management program", but it doesn't look there's space and some users might find it annoying that there's a button that doesn't really "work". Perhaps we could take away a line from the file list (I know that space is precious, but there's the large view) so you can put underneath "tip: you can drag here from explorer".