You can choose either mode - many documents all within one window or separate windows for each. The option is under Preferences > Windows.
Once I made a short adaptation to the multi-document interface, I really liked it. I tend to have many apps open at once, as well as many web pages. I find it very helpful to have all the open web pages accessible in one tab on the taskbar, rather than each one claiming its own taskbar turf.
[edited by: tedster at 10:10 pm (utc) on Oct. 21, 2002]