Most people have a dominant eye (don't know if I translated that correctly from Dutch) If you're looking trough the sight with your dominant eye, you can keep both eyes open, if you're looking trough it with your non-dominant eye, you'll have to close the dominant one, or it will interfere.
It varies from person to person, do whatever works for you, as long as you keep at least one eye open...
If you want to know if you have a dominant eye, try this link:
http://www.sofweb.vic.edu.au/science...logy/bmy11.htm