You CAN do it, but you need to select each file you want to check out (by holding down the key and selecting multiple files). It might be easier to do using a 3rd party source code control such as Perforce. But here is a link to a knowledgebase that talks about this exact issue:
http://digital.ni.com/public.nsf/websearch/4D03AD2C283D596386256ACD0076E89F?OpenDocument