Video in Video.
Use an advanced video editor or simple freebie.
Try Wax 2.0e (free) in stanalone mode or as a plug-it for Adobe
Premiere Video Editing Suite, etc.
It depends what you want, the video in video to do, the inserted video
can be in a static box or move around within the bigger video frame,
etc, the options are unlimited.
I think "windows" preset or similar may do what you want also "video
walls" can be fun, etc.
Most advanced video editors and plug-in modules take about three
years to learn, LOL, and by then there are at least 3 later versions to
start learning all over again, have fun !
Wax 2.0e
http://www.debugmode.com/wax/
Wax is a high performance and flexible video composition and special
effects software. The idea for Wax is to be very general purpose and
flexible in video composition and effects, so that you can compose
your dream video sequence with ease every time.
Wax can create 2D & 3D special effects and can work in two modes -
as a standalone application which would appeal for home
users/beginners, and as a "plug-in" to video editors / NLEs which
would be more useful for professional editors.
Currently Wax can work as a plug-in with Sony Vegas®, Pure Motion
EditStudio and Adobe Premiere® and work for integrating with various
other NLEs is in progress.
Wax is a homegrown video editor from Debug Software that started
out as a college project. It's now a mature piece of software, but it's
user interface leaves A LOT to be desired. However, I have to admit, it
gets the job done. If you are insistent on not spending money on
software, then go download Wax, it just may work for you.