I just attended a short "class" at howstuffworks.com and here is what I found:
"At cold temperatures, the polymers are coiled up and allow the oil to flow as their low numbers indicate. As the oil warms up, the polymers begin to unwind into long chains that prevent the oil from thinning as much as it normally would. The result is that at 100 degrees C, the oil has thinned only as much as the higher viscosity number indicates. Another way of looking at multi-vis oils is to think of a 20W-50 as a 20 weight oil that will not thin more than a 50 weight would when hot."
For Example lets us 10W-30 motor oil. If we has a single weight 10 motor oil it would thin to say 5 at 200 degrees, and if we had a single weight 30 motor oil it might thin to say 20 at 200 degrees. Then the multigrade oil 10W-30 would be a 10 at "cold" temperature, but would only thin to 20 at 200 degrees.