Is it possible to have two or more active files at once, and if so, is all i have to do similar to loading two or more master files?

No you cannot. The active file tells it which one you are editing at the time, and sets it dependant upon the others. So if you were editing two at once it wouldnt know what to save where and would be bad. Just edit one file, save, then edit the other one. Why do you need two active at once?

I dont know if I need it, but i have one file with a new worldspace, and the other file with some custom weapons. I was putting the weapons on the new worldspace and i keep trying to edit the weapons but it doesnt save it and it never shows up how i want it

You can use Fo3Edit or other programs to merge the two into one file, or work on them individually. If you make one a master of the other, then you may have access to both by making the slave ESP the active file..