We can choose three or more items by changing the operator to Operator:xlFilterValues and specifying the list of items as an array in the Criteria1.

The example below filters a list starting in cell E1 to display only the entries in which the values of field 5 is equal to the values: East, West & North.

Sub Filter_Demo()

Dim columnNumber As Long

columnNumber = ActiveCell.column

ActiveCell.AutoFilter _
    Field:=columnNumber, _
    Criteria1:=Array("East", "West", "North"), _
    Operator:=xlFilterValues

End Sub

Running the macro gives us the following result: