You have to use the INSERT... SELECT form to insert multiple rows.
INSERT INTO S (s#, sname, status, city)
SELECT 'S2', 'Jones', 10, 'Paris' UNION ALL
SELECT 'S3', 'Blake', 30, 'Paris' UNION ALL
SELECT 'S4', 'Clark', 20, 'London' UNION ALL
SELECT 'S5', 'Adams', 30, 'Athens' ;