Extra|Spell Check All will activate the first file and start the spell check process. When the first file has been completed, the second file will be activated and the spell checker will be invoked on that file, until all files have been checked or you clicked the Abort button on the spell check page.
See Extra|Spell Check for a description of the spell check pane.
Extra|Spell Check Selection
Extra|Spell Check Project
Download Spell Check Dictionaries