There are two types of program on Windows 8, and you will need to get to grips with this, or face enormous frustration. Not everyone likes the design.
1. The new kind of program for Windows 8, usually calls apps. These are NOT windows, they take over the whole screen (or you can have exactly two on screen). Windows Reader is an app. Adobe Reader for Windows 8 is an app. Most things sold for Windows 8, and (I think) all the things in the Windows App Store are apps. These also run on some phones etc which can't run full Windows.
2. The old kind of program for all versions of Windows. Adobe Reader 11.0 (XI) is one of these (http://get.adobe.com/reader).
A program cannot be both kinds. Things which seem to be (e.g. Internet Explorer) are actually two separate things, one of each kind.
On Windows 8 Pro/RT, there are two different types of apps that you can install and run.
(a) Windows Store apps with "Modern" UI
Examples: Adobe Reader Touch for Windows 8, Windows Reader by Microsoft
The application window of a Windows Store app occupies the entire/full screen by default. (This is the UI design decision made by Microsoft.) However, it does not mean that you are stuck with the full screen mode. You can optionally snap a second Windows Store app to the left/right side of the screen to view the two apps simultaneously.
However, the limitation is that you cannot have more than two Windows Store apps displayed at the same time on the screen.
(b) Desktop apps with classic UI
Examples: Adobe Reader XI, Microsoft Office 2013
If your PC/laptop/tablet is running Windows 8 Pro (as opposed to Windows RT), you can install the traditional desktop apps that are compatible with Windows 8. From the Windows 8 Start screen, you can tap/click the Desktop tile and switch to the Windows 8 desktop, which looks almost identical to the Windows 7 desktop. In the desktop environment, you can install and launch as many desktop apps as you want and arrange the app windows anyway you want.
However, if you have a tablet with an ARM-based processor running Windows RT (e.g. Microsoft Surface RT), there are no compatible desktop apps available other than pre-installed Microsoft apps like Office (as far as I know as of February, 2013). So Adobe Reader XI will not run on Surface RT.