From a programmers point of view, the PageControl solution quickly gets out of hand. Possibly too much code and certainly to many components on one form. (Originally this question was tagged Delphi, so I go from there.)
From a users point of view, the "opens new window" paradigm often is confusing. We people tend to think that we are able to multitask and handle many open windows and tasks, but we are not (we task switch at a loss of time like computers and add loss of accuracy).
Obviously this really depends on the type of application. But I would tend to a paradigm as Chrome and Firefox show in their latest incarnations:
- keep the various forms in different tabs
- let the user detach a tab into its own form (dock and undock via drag%drop)
- add a good way of navigation
I implement something like an SDI as main screen of an application too. Look at something like "outlook style". Navigation, list of objects, object details in different panes, some additional panes like a cockpit. And then open a new window/form for certain tasks (some modal, some non modal), but short lived. After the email is written, it is sent and closes the window. But I have, if I am capable of doing so, the possibility to work on multiple emails at the time.
Look at the problem. If it has dashboard character, take "outlook style" or so. If the users are a wide spread, heterogeneous, non computer savvy crowd, use SDI or forms on tabs. If you write for programmers, you might go for multiple forms, just because we tend to think that we can handle it. And it works for multiple screens (hopefully).