Data files can be created by File → New ... (Ctrl-N) - the file creation wizard will guide you through the process. It is possible to have more data files, although (in my opinion) vast majority of users will come along with just one file containing their parish.

More files can mean more confusion. It is recommended to have just one main file, that will be always opened on application start. Unless you move the data file, you can forget that you have some data file - it is opened, saved automatically.