Hotmail doesn't allow you to select multiple files for attaching to email, you have to do them individually. You can upload the files to a directory in Skydrive and share them via a link if you want since your hotmail sign in is also a Skydrive sign in.
The easier solution would be to zip the folder and attach the zipped archive. It would send the contents of the folder as a single file for the recipient to unzip into their own directory.