The median overall survival (OS) of relapsed/refractory multiple myeloma (MM) is less than nine months. However, phase II data with the proteasome inhibitor bortezomib (Velcade®) has been heartening, with 35% overall response rates and median survival of 16 months. In-vitro data has shown that this agent dramatically increases the sensitivity to chemotherapeutic agents. Liposomal doxorubicin (Doxil), melphalan, and bortezomib all have different mechanisms of action and toxicity profiles. Clinical studies employing two drug combinations with these agents in patients with refractory MM have found favorable efficacy (nearly no progression of disease) and tolerance data. Thus, the investigators are initiating a phase I/II study to examine the safety and efficacy of combining all three agents into the regimen DMV (Doxil® + melphalan + Velcade).