How can I have multiple active Windows sessions simultaneously?

You need a server version of Windows. This is strictly a licensing issue - regardless of whatever technical hacks are available.

A Windows server will then allow for 2 concurrent RDP sessions in administrative mode, after which you need remote desktop services (terminal services) client/device licenses for more concurrent connections (generally known as TS CALs).

In two words : you can't. This artificial limitation by Microsoft is designed to force you to update to a Server version of the operating system.

However, if you're using XP, you might rollback back one system dll to a version dating to before Microsoft had this brilliant idea. See the two following articles for slightly different instructions on how to do this:

Concurrent Remote Desktop Sessions in Windows XP SP2
Enabling Multiple Remote Desktop Sessions in Windows XP Professional and Media Center Edition 2005

Be careful, and don't forget first to take backups and create a system restore point.

EDIT : Now also for all Windows versions :
Enable Concurrent Sessions on Windows 8.1, Windows 8, Windows 7, Windows Vista and Windows XP