I would like to setup an Auction with multiple currencies. How can I do this?

In order to setup an auction using multiple currencies you would need to create the event as normal and select that you would like it to have an auction. 

Within those setting there is an option to make it a multi-currency event. You'll nee to select this tick box. 

Once selected this will present you with new options within the Auction settings.

In this section you need to select the currently you wish to offer to your participants from the drop down in the left and in the box on the right of the drop down enter the exchange rate. 

Then once you take the event live your participants will be presented with the different option you have given for the currency that they wish to bid in by selecting the drop down highlighted and picking the currency they wish to bid in.