You can do it, there is a catch though.
Go to a friends profile and click send message. Then, when the message box appears, click behind their name in the recipients box. Start to type the user name of another friend who you want to get the same message, suggestions will be made as you type.
There is where the problem arises though. You can only add friends who are among the first 20 on your list. First as in oldest, so, when you view them all, the last.
It's a real pisser and I've never seen a decent answer as to why it's this way. You can get one friend who isn't in that 20 included if you start the message to them, the rest have to be among the first 20 friends you added here.