Profiles are a feature of the Mozilla platform available to all XULRunner programs. A profile contains all kinds of information, including browsing history, bookmarks, logins, cookies, session information, certain caches, and more. Profile data is normally stored in ~/.conkeror.mozdev.org/.
Any running instance of Conkeror uses one and only one profile, and conversely, a profile may only be used by one instance at a time. Thus if you want to run multiple instances of Conkeror at the same time, you need to use a separate profile for each.