Multiple references in LaTeX

I wouldn't use the conference mode of IEEE but use ieeeconf directly instead if I were you but that's another story.

IEEE has certain standards and all their classes, not surprisingly, obey those standards. What you are asking is something IEEE doesn't want and that's why it's not supported. However for personal use you can override it. Using natbib is not a good idea with IEEE as it's specifically discouraged.

\documentclass{IEEEtran}
\usepackage[noadjust]{cite}
\usepackage{filecontents}

\begin{filecontents*}{test.bib}
@MISC{test1,
title = {Reference test1}
}
@MISC{test2,
title = {Reference test2}
}
@MISC{test3,
title = {Reference test3}
}
\end{filecontents*}

\renewcommand{\citedash}{--}    

\begin{document}

 \section{Test}
 \cite{test1,test2,test3}.
 \bibliographystyle{IEEEtran}
 \bibliography{test}
\end{document}

Try

\usepackage[sort&compress]{natbib}

instead of \usepackage{cite} .