There are two ways you can select more than one criteria option for your filters. These will be the same for either the Orders page or the Account Settings > Automation > Order Filters page.
You can indicate an "OR" function in filters. For example, I want to grab all of my orders that I could locally deliver to based on zipcodes. For any criteria that I'll type in (like zip code), I'll use a semi-colon (;) with no spaces to indicate OR.
Here's an example of this typed in from the Orders page:
If the criteria have checkboxes, simply check them all in the drop-down. Unchecking boxes will remove those options from your filter.
Here's an example of this from the Account Settings > Automation > Order Filters page:
If the filter doesn't have checkbox options, you'll need to separate your entries with semicolons (;), as shown in the first example. Keep in mind that the right-most field is limited to 2,000 characters, so make sure that your choices don't go over that limit. When you're done creating your criteria, continue making your filter and remember to Save Changes when you're done!