He is not talking about HDR or auto bracketing. Multiple exposure is detailed on pages 78 and 79 of the manual.
Here is a multiple exposure I just took with my D5100 and AFS 35mm f1.8 lens. The first photo was taken outdoors, the second indoors.
My camera was set up: Aperture priority Multiple exposure was set to ON in the Shooting Menu. ISO 640 First photo 1/2000 sec f5.6 Second photo flash 1/60 sec. The EXIF data only shows the 1st photo. It took about 15 seconds for the photos to merge. The red light on the back stays on while it's merging.