There are some hints in the undoc part of the help file and the same in the UNDOC.TXT file.
It is not necessary to use two directories. Startthe first instance of prime95, in the Advanced menu set the affinity to 0, set it to start at bootup in the Options menu.
Open a Command Prompt, go to the prime95 directory, and type "prime95 -a1", once it oppened, in the Advanced menu set the affinity to 1, set it to start at bootup in the Options menu.
There are some older threads concerning this, some are in odd places like mersenneforum.org > Fun Stuff > Lounge (
How to Open Second Instance of Prime95?