I have select box in jqGrid and to load data m using dataUrl. Everything is working fine but when I put multiple as true then data is
You have a part of problems (jqGrid bugs) which I described in the answer and which I posted as the bug report to the developer of jqGrid. The bugs are still not fixed so you my attempts to reproduces your problem in Internet Explorer the demo:

I used IE9 for the test. If you fix the line 8217 of the jquery.jqGrid.src.js (version 4.1.2) from
if(cm[i].edittype == "select" && cm[i].editoptions.multiple===true && $.browser.msie) {
to
if(cm[i].edittype === "select" && typeof(cm[i].editoptions)!=="undefined" && cm[i].editoptions.multiple===true && typeof(cm[i].editoptions.dataUrl)==="undefined" && $.browser.msie) {
the problem will be fixed and you will have

(See the same demo, but which use the fixed jquery.jqGrid.src.js).
Moreover I wrote you in the comment that the attempt generate unique URL used in dataUrl with
dataUrl: 'PopulatePrimarySkillData.do?nd=' + Math.random()
generate one url like
PopulatePrimarySkillData.do?nd=0.30184902572188804
If you would use dataUrl: 'PopulatePrimarySkillData.do and will use additional parameter ajaxSelectOptions: { cache: false } the dataUrl which will be used will be really unique like
PopulatePrimarySkillData.do?_=1312564872215
PopulatePrimarySkillData.do?_=1312564872217
PopulatePrimarySkillData.do?_=1312564891288
...