Hi eric, that particular menu item is only for the Mac version, because unlike Windows the Mac OS doesn't normally launch multiple instances when you click the application icon. For Windows you can launch another window just by clicking whatever shortcut you used to launch MoI the first time, or if you have it pinned to the task bar right-click it and there's an option to launch a new instance on that menu. Basically in Windows that option is built into the operating system itself so that's why MoI doesn't have its own menu for it.

- Michael