you have (at least) 2 options. You can set up a subdomain (e.g. webdav.yourdomain.com), configure apache and enable webdav in webdav.ini (all covered in http://ez.no/doc/ez_publish/technical_manual/3_6/features/webdav). Webdav is really nice, but cumbersome if you don't control the server where you want to set it up.
Or you can use the multiplefileupload extension (http://ez.no/community/contribs/applications/multiplefileupload). This is a java applet. I would recomend this for a newbie.
Try this instead : http://ez.no/community/contribs/applications/multiplefileupload (sticky parenthesis at the end of the url)
And yes, a java applet will require a browser equiped with a java plugin.
IE is normally shipped with/able to find a locally installed Microsoft JVM (Java Virtual Machine). You can also download an up-to-date JRE (Java Runtime Environment) that includes browser support plugins on java.sun.com (please refer to the extension readme or manual to know which version of the JRE you need - 1.4.x, 1.5.x, etc)
