If I open an audio file and then open a new one (in separate window), once the 1st file is playing I can’t play the 2nd file (at same time) nor can I import a new file - in fact the system locks up! 
If you want to play two recordings at the same time, copy the recording from the second file you mentioned, and post it in where the first file you mentioned is, although as a new track. You’d have to have it in stereo (I think), in order to do that. But yes, you can play both at the same time, but it has to be in the same audacity window.
Hope this helps. Thank you
If you have one file open Audacity File ->Import will open a 2nd file in the same project. Is that what you want?