Open a MacVim (gvim) window from MacVim
Using :!mvim filename (or !gvim filename) works for me, but I have the commands set up in /usr/local/bin (and /usr/local/bin in PATH), and I don't remember the installation instructions for where to get the script to put there. If you don't have that, try :!open -a MacVim filename, but this only works on existing files.

Also you can open a new window with ⌘N or :macaction newWindow:, but that won't let you specify a filename, and the working directory will be your home directory.