Can you please provide a link to the training you are referring to?
Visual Studio is a desktop application so you wouldn't be opening a browser window to it. However if you're trying to use Azure Dev Box then that is basically a VM running in the cloud so creating a separate tab/window would allow you to work in the VM and bounce back to Azure Portal as needed. Note that Azure Portal and Dev Box are different services (like Azure and Office 365) so you may need to log in a second time if you don't have your browser set up to log in automatically using your MS account or if you haven't used Dev Box before.