I just shift from windows vista to MAC.
In windows, we can run STATA in multiple session in the same time, that means, we can handle multiple dataset in the same time.
However, we can't have multiple instances of GUI Stata running on MAC OS X.
Following is a method to run multiple session: (by Mike)
........Locate your copy of Stata in the Finder.  Right-click on the icon and select "Show Package Contents" from the popup menu.
In the window that opens, locat the folds, Contents/MacOS/, you can see two icons (files):  stata-se and StataSE, for example.
The former is the one Phil mentions below.  The latter is the GUI version, right-click on it, select "Open With  >", and select Terminal from the popup list.  
If you already have a copy of Stata running, this will launch another......[size=+1] (/Applications/Stata/StataSE.app/Contents/MacOS/stata-se)