Well, that explains why you get what you get. The DISPLAY is wired so all of the LED segments a.b.c.d.e.f.g are wired together on each DIGIT. the other side of the LED segments are wired to a common pin for each digit. When you multiplex, you are only driving one digit at a time... not all at once.
SET A-G SEGMENTS for DIGIT 1
ENABLE COMMON PIN for DIGIT 1
SET A-G SEGMENTS for DIGIT 2
ENABLE COMMON PIN for DIGIT 2
SET A-G SEGMENTS for DIGIT 3
ENABLE COMMON PIN for DIGIT 3
SET A-G SEGMENTS for DIGIT 4
ENABLE COMMON PIN for DIGIT 4
back to digit 1
IN ALL CASES you turn on A-G segments with the same pins. You enable digits with different pins.
Do this REAL FAST and persistence of vision will make it look like they are all on at once.
Rather than my try to explain it... read what this guy wrote:http://www.youritronics.com/seven-segment-display-explained/
EDIT: Oh cool, you already found it