Update statement to update multiple rows

Try this one, this will combine multiple selects and returns them as if they come from the DB:

UPDATE e
SET hire_date = t.hire_date
FROM dbo.employee e
JOIN (
    SELECT emp_id = 'PMA42628M', hire_date="1979-03-15"
    UNION ALL
    SELECT emp_id = 'PSA89086M', hire_date="1988-12-22"
) t ON t.emp_id = e.emp_id

If you are using SQL Server 2008 or later version, you could also use a different syntax for the derived table:

UPDATE e
SET hire_date = t.hire_date
FROM dbo.employee e
JOIN (
    VALUES
        ('PMA42628M', '1979-03-15'),
        ('PSA89086M', '1988-12-22')
) t (emp_id, hire_date) ON t.emp_id = e.emp_id