Sorry imap, it isn't possible to do this in Media Player, at least anything above version 6.4, or unless you want to embed your video's into web pages. You might want to complain to Bill Gates about that one lol.
You can however open multiple instances of WinAmp (
Download Winamp Media Player 5.53 - Download Winamp Media Player for Free). To open a second WinAmp instance, press [CTRL] + [ALT] + N
EDIT: Marked as Answered.