What exactly are we talking about here?
Executing geany.exe after an instance is already running or rather opening additional files into an already running instance, e.g. with the Explorer context menu item "Open with Geany"?

In case of the first one: it is intended behaviour that a new Geany window is opened in that case, same as on non-Windows systems.

In case of the second one: that works for me with current GIT master. Could you try a nightly build (http://nightly.geany.org)?

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