Payment Methods are Journals of type Cash or type Bank and Checks.
These are managed via the menu sequence:
Accounting --> Configuration --> Journals --> Journals
You can define a currency for each Journal when you set it up, and you need to check the 'Allow multi-currencies' option from the menu sequence:
Settings --> Accounting
EDIT: To address followup question:
To understand OpenERP you need a mixture of
Make sure you know about all of the Documentation sources (and more details on blogs, videos and slides) at https://accounts.openerp.com/forum/Help-1/question/6817
Specifically for your question:
1) The link between a payment method and a journal, it is discussed at https://doc.openerp.com/v7.0/book/3/3_6/invoice_payment.html/
2) That the TYPE of Journal is important, can be found by looking at the XML that defines the dropdown. You can activate developer mode (https://accounts.openerp.com/forum/Help-1/question/83/) and examine the XML that defines the form view. (The Edit FormView option in the debug dropdown on the Payment screen). You can see the XML definition for payment method is:
<field name="journal_id" domain="[('type','in',['bank', 'cash'])]" ...
I have ver 7.0 I have looked in Accounting/Configuration/Journals/Journals both Cash and Bank and I cannot find an option "Allow multi-currencies" to check?