Using natbib with agsm

With natbib many aspects can be easily configured: you need to set citesep (separation between two citations in the same place) and aysep (separation between author and year in a citation):

\documentclass{article}

\usepackage{natbib}
\setcitestyle{citesep={;}, aysep={,}}

\begin{document}
\citep{Goossens:1994:LCb}

\citep{Knuth:1986:MB,Lamport:1994:LDP}

\bibliographystyle{agsm}
\bibliography{testbib}
\end{document}

(I used one of N. Beebe's databases.)

I think the following will do what you want:

\usepackage[comma,colon]{natbib}

based on this reference sheet