Range test failure

Com5: Arduino Diecimila board with XBee Shield via USB
Com7: XBee Shield with sparkfun.com board via USB

Modem XB24; Function Set XBEE 802.15.4; Version 10CD

Can more than one COM port be opened at any one time in Windows or is there some limitation in X-CTU/Windows XP

There is no such limitation i think, (One COM port per process)
The following pdf describes how to perform range test, http://ftp1.digi.com/support/documentation/90001067_a.pdf