SIP works using registration, this step informs the server how to contact the endpoint (handset or soft client).. having two using the same extension will send any incoming calls as you've discovered to the last registered device.
1. Use two extensions and a ring group with both extensions in the group. Any incoming calls to either extension are sent to the ring group, ringing both endpoints. Works with 3 or more as well. I have a desk phone at the office, a desk phone at home and a soft client that all ring together.
2. The 'virtual extension' tick box does something similar but doesn't use an extra license. The handset uses the normal SIP credentials. The second device (either our Windows or Mobile softclients) use the weblogin to retrieve SIP credentials for a secondary linked extension. It works the same as the ring group but is autoconfigured with a single tickbox. The secondary SIP credentials are not exposed in the web interface but we can retrieve them manually if you want to use a different soft client using this method.