MDI - Multiple Document Interface - as a GUI design type is a large failure for a couple of reasons.
MDI has been in use in Microsoft Windows applications. For good examples of MDI applications, see Adobe's Photoshop graphics package and Opera Software's Opera web browser. In Linux, StarOffice's 5.x releases count. (6.x and OpenOffice.org version has got rid of this annoyance.)
The main reason why MDI seems to exist is that Windows doesn't have virtual desktops. In all self-respecting windowing systems, virtual desktops are entirely possible and most support them out of box. In Windows, people have been at the mercy of shareware, commercial applications and video card driver makers if they wanted virtual desktops - and the quality and compatibility of these things varied greatly. That was not good, so it was easier to make application windows "behave" - one application, one window.
For people who are used to virtual desktops, MDI is just pure pain. For example, if I want to browse multiple websites with Opera in Linux, I need to maximize the thing, and all browser windows in it. It just doesn't behave as expected.
Due to the fact that in some MDI apps the application draws the windows itself, they violate my themes and window manager GUI consistency.
The bottom line: If you can, use single window for single thing, and let the window manager sort them out. Don't try to play god.