I've never had a problem with it. I've mainly used winXP and win7, and they always just open another tab at the bottom of the screen. Not sure that works for Macs--been a while since I've used one of them, and I've never used one with Eagle. Anyway, I think all you need to do is go to the "control panel" (on Windows it's its own window) and select New-->Schematic. If you try opening a new one from your current project, it will always try to close it. You must access it from the "Control Panel" window.
As I mentioned, this is only for Windows. I've never used Eagle on a Mac before, so I can't say for sure. When you open up a PCB from your current schematic (switch to the PCB editor), does a new "window" come up? Where does the other one go? I assume that's how it would work if you open a new one up from the control panel as well.
Regards,
Der Strom