It's got a nifty little Task View button next to the search bar. Click it and it opens thumbnails of all of your active programs. I think OSX does the same.
In task view, you can open a second desktop. From there you can drag apps to other desktops, or even open the same app (like a browser) on two desktops and have them run separately.
I haven't had a go with Cortana yet because it's not available in my region, but I'll find a way to fix that.