If you're talking about the MDI (Multiple Document Interface) you see in many Windows applications, it's not really all that common in Linux and GTK+. You'll notice however, that some of the more advanced IDEs (Anjuta, Monodevelop) do have "docking windows" which effectively allow a similar user experience.
Personally, I like docked windows better--and only in appropriate applications such as IDEs. You can read about various suggestions for use of primary windows and SDI vs. MDI in the Gnome Human Interface Guidelines (HIG): http://developer.gnome.org/projects/gup/hig/2.0/windows-primary.html
If you do find you need docked windows, gdl is an api by the guys developing monodevelop and Anjuta. I've tinkered with it and it works quite nicely (Docking Widgets in GTK+
), however, it isn't mature yet and there is no documentation--just a demo application.