Thalidomide and Velcade are two new agents that have recently become available for the treatment of multiple myeloma, especially in relapsed patients. This study therefore aims to test the hypothesis that the combination treatment with Velcade plus Thalidomide plus Dexamethasone will result in a longer time to progression (measure of time after the disease is treated until it starts to get worse) than Thalidomide plus Dexamethasone alone.