As others have said, if you UNCHECK "Use independent window configurations", you will then get one big window with four sub-windows. However, it doesn't seem to take effect immediately; you have to close Hammer and reopen it before it takes effect.
OTOH, if you have that option CHECKED - as you currently do - you will get one window, but you can then open as many individual "New Windows" as you require from the "Windows" menu -- and set them up accordingly. (You can open new windows no matter how the "Use independent window configurations" is set, but it's not overly useful to have multiple subdivided windows, as far as I can see...)