Settings menu > Preferences
Allows you to open more than one window at a time:
Multi-instance > Always in multi-instance mode
General > Document List Panel > Show
In addition to the top-tabs for each document, you'll get a left-side panel list of them.
You can navigate with either.
By default, files are being saved with no extension.
To fix it:
Settings > Preferences > Default Directory > uncheck "Use new style save dialog"
A session is the set of files currently open.
Save current session: File menu > Save Session
Load previous session: File menu > Load Session