The drugs, lenalidomide, bortezomib, and dexamethasone, are approved by the FDA. They have not been approved in the combination for multiple myeloma or any other type of cancer. Bortezomib is currently approved by the FDA for the treatment of multiple myeloma. Lenalidomide is approved for use with dexamethasone for patients with multiple myeloma who have received at least one prior therapy and for the treatment of certain types of myelodysplastic syndrome (another type of cancer affecting the blood). Dexamethasone is commonly used, either alone, or in combination with other drugs, to treat multiple myeloma. Please note that Bortezomib and Lenalidomide are provided to patients participating in this trial at no charge. Melphalan and cyclophosphamide, the drugs used during stem cell collection and transplant, are also approved by the FDA. Melphalan is an FDA-approved chemotherapy for multiple myeloma and is used as a high-dose conditioning treatment prior to stem cell transplantation. Cyclophosphamide is used, either alone, or in combination with other drugs, to treat multiple myeloma. These drugs have been used in other multiple myeloma studies and information from those studies suggests that this combination of therapy may help to treat newly diagnosed multiple myeloma.