Sharepoint - How can I create a recurring event that spans multiple days in a Sharepoint 2010 calendar?

You can't.

Recurring events that span multiple days are not supported in SharePoint 2010 Calendars.

To test I tried creating one with a SharePoint 2010 Calendar connected to Outlook 2010. On an Exchange Calendar in Outlook, I can create this type of recurring event. When performing the same creation activity on a Sharepoint calendar I received the following message:

The recurrence pattern you selected for the current appointment is not supported by SharePoint. Select another pattern or remove the recurrence.