My actual problem is:
I rendered about 5 layers and 40 Frames and saved them as OpenEXR MultiLayer. So far so good. When I’d like to get them in the compositor as a image sequence they won’t automatically refresh as I move in the timeline. Only the loaded frame is shown and the others aren’t, though I set everything how it should be. (40 Frames, Startframe 1, Auto-Refresh check etc.)
If it really doesen’t work with OpenEXR MultiLayer, then how do you render it?
I’ve just tested loading in an image sequence of multilayerEXR files and it auto refreshes correctly as expected.
What blender version and OS are you using
Show us screenshots/screencasts of what you are doing and example blend file with a short image sequence. What are the PRECISE steps you are doing to add the image sequence (mention every single step you take)
Blender Version: official 2.69 build
OS: Windows 7
1.) Rendering 5 different layers (combining them with z combine -> I think irrelevant, because Multilayer saves also the "raw"renderlayers)
2.) saving as OpenEXR files (with color, alpha & z depth)
Until there I see no problem, because every frame is correctly saved and I can load them into Blender as single images, too.
3.) open a new Blender file (no difference between my actual modified file and a new Blender file)
4.) replace the renderlayer with a image, select the first *.exr, type in the correct number of frames, check Auto-Refresh, select a layer where something happens, connect with the composite node
5.) let the “bug” happen 
Maybe it’s just my stupidity.
Meanwhile I’ll do some tests (load a image sequence of png’s, try another Blender version etc.)
EDIT:
I’ve tested .PNG’s and it worked pefectly (with 2.69).
Also I tried to open the .EXR’s with 2.67b (official) and it didn’t work.
EDIT 2:
I’ve found a workaround with the node file output and about 20 pictures per frame (5 renderlayers, for each color, z-depth,alpha and speed).
How do you work with this amount of data? or How do you render multiple layers?