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Running R Remotely on LINUX

Hi Michael,
Can't help you on the windows side
There is "screen", a utility that acts as a layer between your login and the actual shell(s) you open.
It allows to detach from and reattach to a session and would nicely fit this requirement.
I'll assume you are not producing any graphics output to screen, that would be difficult.
2 or 3 should be no problem - you'll only be limited by memory (and cores to stay efficient).
open as many connections (or consoles in screen) as needed and start an R in each.