Delphi 2.0 multiselect grids have an undocumented SelectedRows property, a TBookmark list.
You can use it with code like this:
with DbGrid1 do
begin
for i := 0 to SelectedRows.Count-1 do
begin
DataSource.DataSet.Bookmark := SelectedRows[i];
{ the dataset is positioned on the selection. do your stuff }
end;
end;