Audacity doesn’t like running multiple instances. You can open multiple Audacity widows within the same instance. You can get crossed up if Audacity thinks it’s supposed to maintain UNDO for the show you’re trying to open in a different window.
Just because you have an empty window doesn’t mean it’s just loafing.
You don’t say what version of Audacity you are using (see the pink panel at the top of the page) but Audacity 2.1.3 should open subsequent projects in a new window in the same Audacity instance, as long as they are different projects than are already open. Downloads: http://www.audacityteam.org/download/windows.