You have to have two separate copies of prime. Make a copy of the Prime95 folder (e.g. call it Prime95-2), and delete the local.ini and worktodo.ini from the new copy. You can then run two separate instances, one from each folder.
If you want, you can also set the Affinity in the Advanced menu, so that one copy runs on cpu0 and the other on cpu1.
Note, however, that running two copies of Prime doesn't get you very much. Prime makes heavy use of certain parts of the chip and requires a lot of memory bandwidth. When you run two copies, they will both run at about half-speed, even with HT enabled.
If you're just stress testing, you're probably better-off running one copy of prime along with something else.