1. Add folders to project

2. Save it (Project -> Save Project As…)

3. Duplicate project files and rename the project

[name].sublime-project
[name].sublime-workspace

Though .sublime-project will be enough to copy, .sublime-workspace contains some additional preferences on history, unfolded directories and others.

4. Open duplicated project in a new window

1. Through Explorer

   1. Go to folder with the .sublime-project file
   2. Open the file Properties
   3. Press Change and select Sublime Text .exe file
   4. OK.
   5. Doubleclick the .sublime-project file.

2. Through Sublime Text

   1. Go to Project -> Open Project
   2. Navigate to the duplicated project file and open it.
3. Use Edit file feature in such programs as Total Commander or Double Commander, the key is F4.