How about using a batch file? I just tried it in Windows 7 with Chrome and it opened all 3 URLs in the same window.
Make a plain text file with Notepad called file-name.bat
. Then add this code:
start chrome.exe http://www.google.com
start chrome.exe http://www.yahoo.com
start chrome.exe http://www.microsoft.com
All you should have to do is double click it to run it. You may get a security warning (I didn't).
You could check this out too: Batch file for opening one of a list of URLs