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A lot of people seem to want a single PuTTY to be able to manage multiple connections. The most popular UI is per-session tabs on the window, like Firefox or konsole. Other options include selection with Alt-F1, Alt-F2 etc (like the Linux console) or an an MDI-style application, with one large main window containing several session windows.
For a start, this involves arranging to be able to run more than one connection within the same PuTTY process. The cross-platform parts of this work are long since done (see remove-statics), but the Windows front end still uses a great many static variables within itself. So to even consider doing this work would mean a significant amount of restructuring of the Windows code.
In addition I'd want a strong guarantee of reliability (if one session crashes, can it avoid taking the other nine down?). Also I'd want to be able to configure PuTTY to be just the way it is now, because not everybody likes the idea of all their sessions being bound together in a single window; and finally I'd want to be convinced that the code size increase wouldn't be excessive. This is close to having priority "never", in fact, unless someone can convince me it's really worth its while.
Really, the approach we'd prefer is a separate application that can swallow instances of PuTTY and provide the tabbing interface. That way, you're not necessarily restricted to just grouping PuTTY instances together; you could in principle bundle a PuTTY instance with a Notepad and a Firefox, say. (This is another way of saying that the deficiency isn't specific to PuTTY, but is a lack of flexibility in the policies of most window managers.)
There are now several third-party implementations of this concept on our Links page.
A related suggestion is that separate PuTTY windows could know about each other, and a key combination such as Ctrl-Tab could switch between just PuTTY windows. A (scary) patch implementing this was once to be found here (web page in Japanese).