Webform select list multiple selection
On the edit screen for your select list component (node/NODE_ID/webform/components/COMPONENT_ID), there's a checkbox labeled "Multiple" whose description says "Check this option if the user should be allowed to choose multiple values."

With that checkbox checked, by default your component will be displayed as a set of checkboxes. To get it to display instead as a select element, look further down on the edit screen for the component, under the "Display" section. There's a checkbox labeled "Listbox" whose description says "Check this option if you want the select component to be displayed as a select list box instead of radio buttons or checkboxes."

EDIT: here's a screenshot of Webform's select component interface when used with the Bartik theme:


EDIT 2:
After googling "drupal form builder select multiple", I found this issue which suggests that via form builder's UI you need to use the "checkboxes" component type in order to have a "select multiple" field. Per this question you could disable form builder's UI and then you'll get the stock webform UI where you'll find the checkbox.