The "new" confirmation dialog is screencapped below.
Dialog Title: Open a new WACUP instance - are you sure?
Dialog Text: Are you sure you want to open a new WACUP instance?
This is not recommended as it can lead to data corruption (e.g. losing local library play counts & ratings) due to the multiple instances trying to update the same settings files.
You can choose 'Yes' to automatically create a copy of your current settings folder to then use. (Note: Any changes made will not be copied back to the original settings folder).
You can choose 'No' to use the un-safe behaviour & will need to remember to close the open instances last to first to help reduce some of the potential data corruption issues.
Dialog Buttons: Yes, No, Cancel
The Cancel button closes the dialog and ignores the keystroke.
The Yes button begins copying the settings folder. After the copy is complete, the new instance opens. (The copied folder is beside the original folder in %APPDATA%.)
I can't say what the No button does because I didn't try it.
Funny thing: If you do Ctl+Alt+N on the new instance, then the dialog pops up again. Choosing Yes makes a second copy of the first copy of the settings folder, and opens another new instance. The same naming convention is applied, so we get folder names like:
C:\Users\UsrNam\AppData\Roaming\WacUp
C:\Users\UsrNam\AppData\Roaming\WacUp_m
C:\Users\UsrNam\AppData\Roaming\WacUp_m_m
(screencap below)