When running a session file, by default, the session will open in a new tab.
If you would rather have the session open in a new window, follow the instructions below.
INSTRUCTIONS
...
By default, running an Xshell session file will open the session in a new tab.
To instead have the session open in a new window, uncheck the "Open mutiple sessions in a single Xshell window" option by going to Tools → Options → Advanced.
INSTRUCTIONS (Older Versions)
...