To add to this a little...
Given the exception you're seeing, you almost certainly will not have a CEGUI.log to post. In this scenario, it would be the exception message and some version information that we would like you to post. Of course, being a total newbie, you may not be aware that the CEGUI exceptions have messages that you can output, or that the exception classes are derived from std::exception and that you can use familiar mechanisms to get the message
I think these are areas that we
need to work on too - yes these things are relatively easy to research, though for many newcomers it must also be accepted that it can be easy to become overwhelmed. Getting this balance right is sometimes difficult.
With regards to a multiple context set up, I would like to add to what Kulik said, and say that it depends on what you are wanting to achieve. Meaning is the goal to have CEGUI content in multiple contexts, or is the goal to have multiple GL contexts, but only render CEGUI content to one of them. Both are possible, but the whats and the hows will vary according to the intended usage (and the version you are using).