You can't open multiple dialogs at the same time as they block by design. You would have to convert them to windows in order to be able to open multiple at the same time. This isn't too difficult to achieve, but it may impact the operation of your application.
I think you might want to step back and think about the terminology that you are using and the objectives that you are trying to achieve.
It is certainly possible to create Progress user interfaces with multiple tabs in a single window. It is also quite possible to have multiple windows open at the same time and sharing the same "prowin" session. (Although only one of them will have focus at any given moment.)
Using a "dialog" is not an appropriate way to implement either if, by "dialog", you specifically mean a "DIALOG BOX" Progress Documentation
I'm not a Windows GUI developer and, thus, have no convenient and simple examples to share. But, frankly, I think that you would be better served getting some up to date training with modern development tools and techniques.