Windows tries to prevent logging on to the same server with different credentials at the same time, for some obscure "security reason".
This interception happens on the client side, not the server side.
You can circumvent this by using the server´s IP Address instead of the Servername. Personally, I do this in the command line:
net use * \\myservername\mysharename /user:mydomain\theotheruser * /persistent:no
==> error - security reasons
net use * \\x.y.z.z'\mysharename /user:mydomain\theotheruser * /persistent:no
==> just fine
This way, you can even connect twice to the same share, with different credentials. Incredibly useful when you try to debug user permission problems from the user's computer. Even works to connect to, say c$, on your own computer with admin rights.
You remove a share my either right-clicking it, or
net use x: /delete
But: This does not remove your client's presumed connection to the server.
Just browsing to the server in the explorer, without even connecting a share does count, and prevents you from using another credential to log onto that server, unless you disguise the name.
According to Microsoft, this is a feature.