This did not work the last time I tried it and I assume it still doesn't since you are asking.
The fastest way I know of to do this is to use the following script that someone posted on this site a while back for batch importing .obj files. I modified it slightly to work with OSX but the necessary Windows code is just commented out.
# put the location to the folder where the objs are located here in this fashion
#path_to_obj_dir = os.path.join('C:\\', 'Users', 'YOUR_NAME', 'Desktop', 'OBJS') #<-WINDOWS_OS
path_to_obj_dir = bpy.path.abspath('//OBJ/')
# get list of all files in directory
file_list = sorted(os.listdir(path_to_obj_dir))
# get a list of files ending in 'obj'
obj_list = [item for item in file_list if item[-3:] == 'obj']
# loop through the strings in obj_list and add the files to the scene
for item in obj_list:
path_to_file = os.path.join(path_to_obj_dir, item)
bpy.ops.import_scene.obj(filepath = path_to_file)
It's supposed to look like the following. It originally searched the directory where the .blend is but one of the changes I made has the script search for .obj files in a folder called OBJ.