How to set filter for FileSystemWatcher for multiple file types?

You can't do that. The Filter property only supports one filter at a time. From the documentation:

Use of multiple filters such as *.txt|*.doc is not supported.

You need to create a FileSystemWatcher for each file type. You can then bind them all to the same set of FileSystemEventHandler:

string[] filters = { "*.txt", "*.doc", "*.docx", "*.xls", "*.xlsx" };
List<FileSystemWatcher> watchers = new List<FileSystemWatcher>();

foreach(string f in filters)
{
    FileSystemWatcher w = new FileSystemWatcher();
    w.Filter = f;
    w.Changed += MyChangedHandler;
    watchers.Add(w);
}

There is a workaround.

The idea is to watch for all extensions and then in the OnChange event, filter out to desired extensions:

FileSystemWatcher objWatcher = new FileSystemWatcher(); 
objWatcher.Filter = ""; // This matches all filenames
objWatcher.Changed += new FileSystemEventHandler(OnChanged); 

private static void OnChanged(object source, FileSystemEventArgs e) 
{ 
    // get the file's extension 
    string strFileExt = getFileExt(e.FullPath); 

    // filter file types 
    if (Regex.IsMatch(strFileExt, @"\.txt)|\.doc", RegexOptions.IgnoreCase)) 
    { 
        Console.WriteLine("watched file type changed."); 
    } 
}