In LPCXpresso v7.2.0 and later, if you are using a redlink (including CMSIS-DAP) debug probe and attempt to start a debug session whilst there is already an existing debug session made, then you will see the error:
All SWD targets are currently connected to other debug sessions
You will need to terminate the existing debug session before starting a new one. To do this, switch to the Debug View and select the current application being debugged. You should then be able use the "Terminate" or "Terminate All" buttons on the icon bar.
Once this is done, select the project you now want to debug in the Project Explorer view, then use the Debug entry on the Quickstart view to start your new debug session.
Note that if you see this error and there is no currently active debug session, then try terminating the 'redlinkserv' process directly. To do this, switch to the "RedlinkServer" Console, and click on the "Kill server" button.