Hi,
From IE> Tools> Internet Options> Advanced> Browsing> uncheck "Reuse windows
for launching shortcuts."
And... you have a program running which is blocking pop-up windows-
something like Yahoo Companion, Google toolbar, MSN toolbar, a firewall,
Earthlink (or another) pop-up blocker, etc.
You'll have to turn off the feature that's blocking new windows or, perhaps,
uninstall the program.
With some programs of this type, using Ctrl+click or Shift+click will allow
a new window.