For patients who have relapsed or are refractory to therapy, there is no agreed upon standard treatment. Treatment options include chemotherapy and, for some patients, bone marrow transplants. None of the available treatments are curative and investigators are continually looking for more effective treatments. This study involves treatment with a new combination of standard drugs: VELCADE, Doxil, and Dexamethasone. Preliminary results from a study using a combination of VELCADE with Doxil showed high response rates (disease reduction). Two other studies showed that an addition of Dexamethasone to VELCADE in patients not responding to VELCADE alone improved response rate. The proposed combination of all three drugs may improve efficacy and response.