I was not looking at your multiple selection critieria.
An Easy solution, assuming you do not have to many options is to make a formula field that is equivalent to your pick list options.
use an instr, or a left to get your formula, example called "NameConvert":
if left({table.location},5)="First" then "First" else
if left({table.location},6)="Second" then "Second" else
if left({table.location},5)="Third" then "Third" else "Not Converted"
For your selection criteris you can just point the paramter to = the formula