Scene Issues...

Im trying to make a scene, but the models that I want in that scene are saved in two different files. My question is how do I get both of those objects in the same 3D Window? At the same time of course.

Hit Shift F-1 or Append from the file menu. After doing that, your files should come up. All you have to do now is locate the file and add everything you want from the file whether it be an object, a light, camera, etc.

You can only import one object at a time. To get the others just repeat the process.

not entirely true. you have the option of importing the whole scene.
also, you can import multiple items (materials, lights, meshes etc.) from one file simultaneously by right clicking the items you wish to import.