Hi Jonathan,
Once a file is open, you can right-click (or control click) on it and
'Open in Separate Window'. (there is also a keyboard shortcut: option
+apple+o i think)
Once two windows are open, you can drag files from one to another. I
believe a file will automatically open in whatever window is active,
or on top.
I'm not sure about your second question - I use Transmit as an FTP
client, which has a nice little "open with" feature that lets me edit
in whatever app I choose (and I choose BBEdit!)
Good luck!