Extra|Spell Check All activates the first file and starts the spell check process. When the first file has been completed, the second file is activated and the spell checker is invoked on that file. This continues 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 panel.
Extra|Spell Check Selection
Extra|Spell Check Project
Download Spell Checker Dictionaries