<p>Changing a value prompt to a multi-select value prompt in Report studio, provide single select functionality. How can i get multi-select functionality?</p>

Look at the parameter associated with the prompt. Now go look and see how you use that parameter to filter the queries in your report. If you have the filter set as:-
[namespace].[table].[column] = ?MyParameter?
... then it doesn't matter that your prompt is a multi-select prompt, it will still run as a single selection prompt. Modify your filters so they are of the form:-
[namespace].[table].[column] in ?MyParameter?
This tells Cognos that your parameter can contain multiple values, and it will display the prompt accordingly.