I tried creating a shortcut and running that in a window but to no avail. BUT, you can switch between multiple windows by using ALT+TAB. This will allow you to switch to other windows currently open and, when you are in those other windows, you should be able to open new windows and stuff.
I use this when I'm monkeying with mods so I can look at specific Civpedia stuff or Tech info, etc.
Hope this helps