Answer
This question was answered on March 6, 2006.
Much of the information contained herein may have changed since posting.
Currently Internet Explorer can only open one web page at a time. In order to simultaneously connect to two or more pages you will have to open multiple instances of Internet Explorer.
Alternately you can use a browser that features Tabed Browsing, such as Mozilla Firefox. Tabed browsing allows you to connect to multiple pages and switch between them in one browser. Internet Explorer 7 will have this feature, and will be released sometime later this year.