Unfortunately, the MSHFlexGrid by design does not offer multiple non-contiguous cell selection. While you could always go through the gyrations to subclass the control and try to make it do your bidding, I don't think it's worth it. If you need multiple non-contiguous selection, you are probably better off going with one of the third party controls which offer this feature. There are lots of controls out there, including Infragistics UltraGrid and FarPoint Spread.
This was first published in August 2001