of course.
in proxmox vm (kvm) you can add several disks, in three formats, but you choice depends also on what type of "pve storage" you choose to host them on (eg: storage could be nfs, or iscsi/lvm, local and so on)
see
http://pve.proxmox.com/wiki/Storage_Model
if your storage is lvm/iscsi, you can only choose raw, since lvm can host only filesystems, not files
if your storage can host files, you must use a a file, so you can choose between qcow2, vmdk, raw (each one have pros/cons)
for each disk you also have to choose a bus/deice type: vitrio, ide, scsi, sata (each one have pros/cons)
see
http://pve.proxmox.com/wiki/Installation#Hard_disk
when you create a new vm (kvm) you *must* create at least an empty disk following infos above. You can add more, of course.
Once the vm is "saved" you will find all its info, including all hardware, in its .conf file, under /etc/pve/qemu-server/
like /etc/pve/qemu-server/100.conf, if your vm as VMID = "100"
if you look in the file, you will see that for each disk "created" there's a line like
ide0: pve_lvm_storage:vm-100-disk-1,size=32G
this means i'm using a 32GB disk on lvm storage "pve_lvm_storage", and disk data is on lv name "vm-100-disk-1", using bus "ide", and ide0 means is the first of the 4 (in this case, since is ide) channels allowed on this bus type
if you use a file, instead it will be like
virtio0: pve_nfs_storage:100/vm-100-disk-1.qcow,size=32G
or
virtio0: pve_nfs_storage:100/vm-100-disk-1.vmdk,size=32G
or
virtio0: pve_nfs_storage:100/vm-100-disk-1.RAW,size=32G
so if you have 2 .vmdk files, create the vm with a 1GB vmdk disk, then add another empty 1GB one, so your 100.conf will have lines like
ide0: pve_nfs_storage:100/vm-100-disk-1.vmdk,size=1G
ide1: pve_nfs_storage:100/vm-100-disk-2.vmdk,size=1G
To use your .vmdk you have to replace the above 1GB files with yours, renaming yours or adapting the .conf file to your names, if you get what I mean: you can't do this through the web gui, sadly, you must use the pve command line on a node.
Then, just check that boot order is right, so that your vm will boot from the right .vmdk
It should work, if you have windows on them you should have followed all notes about windows vms and mergeide
Marco