Any symptom? Or does it just not do anything when you use File/New Widow from the menu?
Does it matter whether you attempt to open a new window from the existing one, or launch a second instance from the Programs menu?
One thing I can rule out is video memory. I can launch multiple windows on an old 1GHz system that has only an 8MB video card! (It just can't load many textures, and I often get white models when the map's too large).