You aren't given the option of OR / AND through the builder.
You could create the report as you have, display the SQL, copy it and then dump the SQL into a fresh report. Under the where clause at the point the locations are specified change the AND to OR.
The downside to that is you will have to hard-code the location values - you won't have a neat drop-down to change the values at runtime.
Also you will lose the interactivity with the report such as clicking on the Process ID.
Alternatively- depending on the purpose of your report. Just have all locations shown in the report then group by location. This will give you the aggregate for each location and you can have the specific data in the drilldown such as Process ID, Title etc.
Ryan