The Data Loader can handle Multi-Select Lookup Custom Fields by processing them as a list of values separated by Comma - e.g. CSV.
Your column in your Excel file / CSV should use Quotes for the fields, and in turn, it should look like this:
", , .. "
During the import, the system will check if the Multi-Select Lookup Custom Field has each in its collection. If it has, it will save the value against the record being loaded (i.e. Organisation, Contact, Note etc). If it doesn't contain the value, then the will be added into the Custom Field items and then that value will be saved against the record being loaded.