When I am demo-ing new softward in a workshop, I like to use PowerPoint
slides with embedded jpg files that are screen shots from the particular
application I am explaining.

Ideally I would have two computers and two projection systems, but this is
not typical in my college classroom setting.  One would have my Powerpoint
highlights of what to "do next" in using the software.  The other monitor
would run the application being "taught" in live format, so that when a
student has a question, there can be a live response in the application, and
one could even "go back" a step, as needed.

Alternately, one can use end presentation and switch to the alternate
software program on the screen to answer the question, and then flip back.

But, it would be so much more effective if Powerpoint slides (which run
full-screen) could have the option to insert a (empty) defined space  (size
would be user determined), and in that space another program could be run.

This would be similar to the screen in screen concept on TVs.

This could also find use where PP slide might include reference material and
the window might include a live feed of some type.