Hey Vlin! There are two ways to do it:
1- Using Porting Center, going to the Menubar tab, you can ask add a menu bar item which runs the game exe. That will allow you to run the game twice.
2- Also in Porting Center, add a second app to the applications list which also points to the game exe. With that, you will be able to run it by double-clicking the alias which will be generated, like with Setup.