Rozvin, "to the best of my knowledge" multi-select parameter are not currently available in Tableau. You can create multi-select filters, which in your Jan - Dec example should work just the way you want. If you want to vote for the multi-value parameter ideas go here. Or if that link is broken copy/paste this link: http://community.tableau.com/ideas/1313
Or go to ideas and search for:
[Yep, Dustin searching the idea title in the link box returned 'no results', sorry dude.]
Not currently supported.
To: Tableau Guys,
Could be considered for future improvement?