You can set this Format by,
In SQL Server Management Studio,
Tools à Options à Environment à General à Environment Layout à Select Option you Desire Here, Either MDI (Multiple Document Interface) or Tab.
See the screenshot
If you use MDI environment, you can see only one window at time. If more than one window is opened, you can activate other window by using Ctrl + Tab keys.
Here I opened many query windows, due to MDI Options, it will shows one will be active, as shown in the screen shot.
If you use Tab Document, you can see Multiple Tabs on the Query windows, you can switch over any window by Ctrl + Tab keys or Click on the Tab
Hope it helps to someone.