The generalized Riemann (or Henstock) approach to integration is well-known for its explicitness and directness. It has been used to give an alternative definition to the Ito integral and the multiple stochastic integral, see (1, 3, 8, 9, 11, 12, 13, 14). In this paper we shall derive the Henstock-Fubini's Theorem for multiple stochastic integral based on the Henstock approach. We also show that the iterated multiple integral formula is a direct consequence of Henstock-Fubini's theorem..