Graphical computer applications with a multiple document interface (MDI) are those whose windows reside under a single parent window (usually except for modal windows), as opposed to all windows being separate from each other (single document interface). In the usability community, there has been much debate about which interface type is preferable. Generally, SDI is seen as more useful in cases where users work with more than one application. Software companies have used both interfaces with mixed responses. For example, Microsoft changed its Office applications from SDI to MDI mode and then back to SDI, although the degree of implementation varies from one component to another.
Read more: http://en.wikipedia.org/wiki/Multiple_document_interface
This well commented source code, written by Protocol, shows you how to create an MDI for your application.
Only Delphi source code is included in the archive.