As explicitly mentioned at the beginning of Chapter 4 of Multiwfn manual, the way of generating .molden file is simply using orca_2mkl XX -molden to convert XX.gbw to Molden input file XX.molden.input, then the XX.molden.input can be directly loaded by Multiwfn.

An additional thing should be noticed is that .molden file doesn't explicitly record nuclear charge, this is a drawback of definition of .molden format. Therefore, when ECP is used, in certain analyses (e.g. electrostatic potential analysis) this problem will result in incorrect result. The solution is given in Section 2.3 of Multiwfn manual, namely you should manually modify the atom indices in this file, because Multiwfn loads atom indices as actual nuclear charges. For example, def2-TZVP is employed for XeH2, the [atoms] section in .molden file is

[Atoms] AU
Xe   1  54         -4.6310166076         0.2883783119         0.0000000000 
H    2   1         -0.1145711475         0.2883783119         0.0000000000 
H    3   1         -9.1474620677         0.2883783119         0.0000000000 

Because def2-TZVP employs small-core ECP for Xe, namely 28 core electrons are replaced with ECP, in this case Xe only has 26 electrons (in other words, 26 actual nuclear charges), therefore you should manually modify the "54" at the "Xe" line to "26".

In practices, if you do not know how to properly modify the .molden file as stated above, you can consult the output of ORCA. For the XeH2 case you can find

  NO LB      ZA    FRAG     MASS         X           Y           Z
   0 Xe   26.0000*   0   131.300   -4.631017    0.288378    0.000000
   1 H     1.0000    0     1.008   -0.114571    0.288378    0.000000
   2 H     1.0000    0     1.008   -9.147462    0.288378    0.000000

The value under "ZA" column is the value you should manually replace in the .molden file.