Easiest way to create video with multiple videos on loop
You need a stage with an area for each instrument, and video yourself standing in that area while playing that instrument, then overlay each instrumental track onto a master track. It's a type of clipping, selecting portions of the video by reducing the frame width keeping the height, and glueing/synchronising them side by side.

Many of the newer Video editing software can do this. (Even some of the free ones)  It boils down to lighting and timing, to be the same for each instrument you play or the effect is spoilt.