How do you choose more than 1 option in a drop down box when they are not in sequence?

It depends on the drop-down box.

Some are limited to one selection. In that case, it's impossible, no difference if they're next to each other or not (unless you use JS tweaks).

If more than one selection is enabled, choose each one of them with the mouse while holding the CTRL button pressed.

Another (pure keyboard) option, is to hold the crtl button down, scroll with the arrows and select with the space (all while CTRL is down, of course)