We study the problem of single-server multi-message private information retrieval with side information. One user wants to recover $N$ out of $K$ independent messages which are stored at a single server. The user initially possesses a subset of $M$ messages as side information. The goal of the user is to download the $N$ demand messages while not leaking any information about the indices of these messages to the server. In this paper, we characterize the minimum number of required transmissions. We also present the optimal linear coding scheme which enables the user to download the demand messages and preserves the privacy of their indices. Moreover, we show that the trivial MDS coding scheme with $K-M$ transmissions is optimal if $N>M$ or $N^2+N \ge K-M$. This means if one wishes to privately download more than the square-root of the number of files in the database, then one must effectively download the full database (minus the side information), irrespective of the amount of side information one has available.