The syntax of a multiple INSERT is not like that! It's:
INSERT INTO MyTable (MyColumnName) VALUES (FirstValue) (SecondValue) (ThirdValue)
But...it is a very poor idea to do it the way you are: Do not concatenate strings to build a SQL command. It leaves you wide open to accidental or deliberate SQL Injection attack which can destroy your entire database. Use Parametrized queries instead.
In this case, you would be better off using a DataTable to create the bulk insert:
string strConnect = @"Data Source=GRIFFPC\SQLEXPRESS;Initial Catalog=Testing;Integrated Security=True";
using (SqlConnection con = new SqlConnection(strConnect))
{
con.Open();
using (SqlBulkCopy bulk = new SqlBulkCopy(con))
{
bulk.DestinationTableName = "MyTable";
DataTable dt = new DataTable();
dt.Columns.Add("MyColumnName");
dt.Rows.Add(FirstValue);
dt.Rows.Add(SecondValue);
dt.Rows.Add(ThirdValue);
bulk.WriteToServer(dt);
}
}
You get security and simplicity.