There are several ways to do what you want.
The first option is not to use an effect strip at all an just set the blend mode of the two top strips to multiply..
If you must use an effect strip then select the two strips at the bottom, add the effect strip, and then select the effect strip and the top strip and add a new effect strip
A third way is to add the effect to the two top strips and then create a meta-strip, and then add a new effect to the bottom layer and the meta-strip.
From the Wiki
A Meta Strip is a strip which contain several strips. It's like a Group of strips, working the similar way as Nodes groups. It allows you to reduce significantly the (vertical) space used in the sequencer, and treat multiple strips as if it was one strip. You can move, resize, and edit properties exactly the same way strips are. (see Editing and deleting strips page for more informations.)
You can edit the content of a Meta Strip by pressing ⇆ Tab; It will unwrap the content temporarily and hide any other strips present on the workspace, allowing you to select, move and resize the contained strips, or edit their properties. Press ⇆ Tab again to re-wrap the strips into one Meta Strip.