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Movie Magic Screenwriter

If all the windows are visible on screen, switch between them by clicking anywhere on a document's window.

If the windows are Maximized (i.e. at full screen size,) then:

Select the document to display by clicking on its name at the bottom of the Window menu.

Or, press CMD+# (where '#' is the number between 1 and 9 that corresponds to the document window) to cycle between the open windows.