Windows has had support for multiple windows in a single "app" (that is, a single C program that had one WinMain() function), from all points of view, since Windows 1.0. One sense is irrelevant here - all UI elements that we consider Controls today (such as a button) are "windows" in the standard Windows API. But even in what we normally call windows, these were present from the start of Windows 1.0: your application starts with one main window, and it can later create dialog windows, tiled windows, or popup windows - each of which can be closed without killing the main window.

Now, Alt+F4 didn't exist as a standard keyboard shortcut in Windows 1.0 - it was added later, but certainly by Windows 95 at the latest. And already in Windows 95, Alt+F4 was the "Close Active Window" shortcut, which would close the window or dialog that was currently active - not the entire application whose window this was. So pressing Alt+F4 on your keyboard while a "Save As" dialog was present in Word 95 would close that "Save As" dialog, it wouldn't close your Word document.

You can check the Windows Programming Guide to see how to create dialog windows or popup windows in the same app that already had a main window in Windows 1.03: https://archive.org/details/win103-sdk-manuals/5%20-%20Windo...