You start by hitting New Message. Then just start adding recipients on the right-hand column. After you select a recipient, it drops down and the TO field is ready for another.
Interesting that this works for you as the exact opposite happens for me. I get as far as "select a recipient" and it immediately creates a message for that recipient alone, and removes the "TO" field.
I find different behavior depending on whether there is already a message thread with the first recipient.
Try this: Enter the first name in the "To" Box. Rather than hitting enter, Right Click on the box. The box stays and the first name is dropped below as a recipient.