You get one session cookie (and so one session) per browser, not browser window. Try connecting on the same machine with both two different browsers (IE/Mozilla).
This is nothing to do with PHP.
If you wanted to use different browser windows, you'd have to do a nasty hack like create some unique id per window with javascript, store it in the session and pass it using javascript each time you changed pages. You could then identify each window by the unique id. Why do you want to do this anyway? 🙂