I usually run sublime text in one window so when I close that window the program closes and when i relaunch it all those files are open whether saved or not.
But what do I do if I close that window but I also have another window open so the program doesn’t close? If I close that window and relaunch, just the most recently closed window comes back… How can i get at the window with all the files? Is it possible?

You can save it as a project, (Project, Save Project As), then reopen the project another time and it will reopen the same group of files in a new window.