Multiple myeloma remains a non-curable disease. Combination therapies such as VAD have been effective, with partial response rates in ~40-60% range and tolerable toxicity. A recent study showed that substituting Doxil for Doxorubicin in a regimen similar to VAD (DVd) resulted in an improved toxicity profile and similar efficacy. The most active agents in VAD (and presumably in DVd) are Doxorubicin (or Doxil) and Dexamethasone, while Vincristine adds little, if at all to the efficacy of these regimen(s). One of the new active agents in multiple myeloma is VELCADE (bortezomib, formerly known as VELCADE). This molecule has a novel mechanism of action by specifically inhibiting the proteasome. A recently reported Phase II trial showed that VELCADE as a single agent induced at least minimal responses (i.e. > 25% reduction in monoclonal protein) in 35% of patients and at least a stabilization of the disease in 59% of patients with relapsed/refractory multiple myeloma using strict SWOG criteria. An additional 18% responded when Dexamethasone was added to VELCADE. Pre-clinical observations showed that the addition of VELCADE to other chemotherapeutic agents, such as doxorubicin, enhances cytotoxicity of multiple myeloma cells. Preliminary results from Phase I study of combination of VELCADE with Doxil showed 60% response rate (i.e. > partial response) with acceptable toxicity. In this study we propose to combine three active agents, i.e. Doxil, Dexamethasone (two most active agents from DVd), and VELCADE. The ultimate goal is to show that this combination of drugs is more efficacious than VAD or VELCADE with either Dexamethasone or Doxil and without additional toxicity.