Filenames is simply a collection of the selected files names in the dialog.
How you decided to process them is down to you. In this case I simply iterated throuhg the files using the selected filename collection using the for each construct but you can use other looping constructs if you wanted to such as
For i = 0 To x.FileNames.Count
Next
Its a collection of strings - how you want to process this collection is really down to you.
How to find out how many files have been selected - use the Filenames.Count property.
Might I suggest you look at the documentation relating to this control
http://msdn2.microsoft.com/en-us/library/system.windows.forms.filedialog.filenames.aspx
and read a little on VB.NET + collections as this is fundamental in many of other properties and code used in VB.NET.