In linux, when I close one window in closes them all. I haven't seen this problem in windows. If the window is closed right after it is opened, before maximizing, moving it around, or unfocusing from it the other windows stay open, but if you have moved the window or brought focus to another window, closing one window closes all of them.
Also, when you then reopen sublime, it doesn't remember the other windows that were open.
I'm running the lastest version of Sublime Text 2 (2095), on fedora 15 with Gnome 3.
Anyone else noticed this?