It is easy to check several different sites using Xenu Link Sleuth. Once Xenu has completed checking a URL you can enter another URL in the top box of the "Xenu's starting point" dialog box.

Even if you have an existing report and have not saved it yet, Xenu will create a new report for additional sites checked. You'll still be able to view the previous results too. By default, Xenu names these various reports XENU1, XENU2, etc.

To access the different sites' (non-HTML) reports within the Xenu main window, you can either click on the DOC icon and select Minimize (the separate results reports will appear in small windows), or type Control+F6 to view the Next report in the full-size Xenu window.

If you have checked several sites and have several different results reports, you may wish to save them with different file names to avoid confusion.