There's a setting in Internet Explorer to fix that - something about reusing sessions when clicking shortcuts or something... *rummage*
Reuse windows for launching shortcuts. It's found on the Advanced tab. Uncheck it.
Also, a good habit is to hold down the shift key when clicking links if you're worried about something like that. (Sometimes nothing works and it just screws you up.)
Or hell, use Firefox like I do... at home.
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