Most agents assume you are querying more than one agency at a time – as you should be, if you want to find representation sometime this decade. You do not need to indicate this in your query letter unless their guidelines specifically say to do so. They will not, as far as I know, take you less seriously for querying multiple agents. As Colealpaugh said, though, you do need to personalize each query with the agent’s name and you should never CC or BCC multiple agents when sending equeries.
After the query stage, some agents may ask for an exclusive look at your manuscript. You never have to grant an exclusive (and you can’t if other agents already have your manuscript), and if you do it should only be for a short, defined period of time. If an agent asks if others are looking at the manuscript, be upfront and honest about its status. You may end up with multiple offers of representation (as I did), which is a good thing because it allows you to choose the agent who is the best fit for you.
Good luck!