JVM is an implementation. In Windows, it is java.exe (and some DLL's, of course).
Every time you open a DOS window, and execute
java [a class file] you are running a new instance of a JVM. In one DOS window, you can run a server. In some other DOS windows, you can run other java programs that talk together. Each DOS window will start a new instance of the JVM, so you can have multiple JVMs on one machine.