I have been using Parallels for a week now and have wondered how to get 2 vms running at once. I stumbled upon this approach quite by accident.

Right Click on the Parallel icon on the dock, select new window.
Select the Vm you want to run and hit play. Parallels takes exclusive use of the superdrive so if don't disconnect it you get a warning to that affect.

Thats it.

Hope it helps someone.