The whole original point of screen is to make one screen/terminal support multiple sessions. Screen doesn't know about how to create a window because it was made to work on machinery that doesn't even have such a mechanism.
If you need to switch quickly between multiple separate windows, you will need to employ some method outside of screen. Perhaps something such as konsole, with tabbed windows serves you purpose better. I have used a GUI wrapper that inspects screen's 'database' in the /tmp directory to find all screen sessions on a host (including those started by others in a multi-user screen setup), and presents a menu of sessions to which you can attach, each one in its own xterm. It also provides a menu of pre-configured sessions to create, each with a list of commands to stuff into the respective screen session to launch various applications that need to be interactive and shared amongst a group of users.
I know this isn't what you wanted to hear. Sorry.