For most projects you would use an app_config.xml to run multiple tasks at once.*Edit*
The app_config.xml is an XML file that once created is placed in the project folder. If BOINC was installed with the default settings, the project folders are located at: C:\ProgramData\BOINC\projects
If you scroll up a few posts, I posted an app_config for Collatz that runs 2 tasks at once. For Collatz running 2 tasks at once was a net decrease in efficency.
Here is an example of my app_config for SETI, that will run 6 tasks at once.
I think Einstein@Home is the only project that doesn't require an app_config to run multiple tasks at once. There is a setting in the Einstein preferences that allows you to change how many tasks run at once.