How do you open two or more simultaneous sessions of Microsoft Remote Desktop Connection in Lion?
Microsoft's Remote Desktop Client has two very interesting (and very un-mac like) designs:


Invoking the app a second time simply raises the connection in process. You've no doubt tried to launch a "second instance" of the app this way, and been annoyed that it doesn't work. Don't worry, you're not alone, that's un-expected behavior.
As you see from my screenshot, it's as simple as File -> New Connection




However, don't try and use the ⌘n shortcut. If you're connected to a remote computer then shortcuts no longer work, and in fact, shortcuts are actually completely unbound after you connect to something. That's invariably due to the fact that because most keyboard shortcuts get sent through to the remote computer.

So, File -> New Connection. A new icon will appear in your Dock, and you will be prompted for the remote host address. One advantage to this 'un-mac like' convention is that it's simple to switch between remote hosts with one icon per connection in your Dock.