This paper presents a new algorithm that extends Particle Swarm Optimization (PSO) to deal with multi-objective problems. It makes two main contributions. The first is that the square root distance (SRD) computation among particles and leaders is proposed to be the criterion of the local best selection. This new criterion can make all swarms explore the whole Pareto-front more uniformly. The second contribution is the procedure to update the archive members. When the external archive is full and a new member is to be added, an existing archive member with the smallest SRD value among its neighbors will be deleted. With this arrangement, the non-dominated solutions can be well distributed. Through the performance investigation, our proposed algorithm performed better than two well-known multi-objective PSO algorithms, MOPSO-σ and MOPSO-CD, in terms of different standard measures.