During the Phase I portion of this clinical trial, the doses of Revlimid® and Doxil® will be increased until the best and safest amount (or dose) is identified in combination with Velcade® and Dexamethasone. "Investigational" means that the drug combination is still being studied and that research doctors are trying to find out more about it such as the safest dose to use, the side effects it may cause and how effective the Velcade®, Doxil®, Dexamethasone and Revlimid® investigational combination is for treating newly diagnosed multiple myeloma. In this clinical trial we are looking for the highest dose of the combination that can be given safely and see how well it works as a combination in newly diagnosed patients.