See this article for possible help:
Multiple Windows Open Unexpectedly in Internet Explorer After You Install WeatherBug
http://support.microsoft.com/default.aspx?scid=kb;EN-US;Q812942
These days, it's always prudent to also check for spyware/malware that may be causing this issue:
Use Ad-Aware and/or Spybot Search & Destroy to remove it.
Ad-Aware:
http://www.lavasoftusa.com/
Spybot:
http://security.kolla.de/
(Good site on how to install and use Spybot -
http://www.tomcoyote.org/SPYBOT/)
More information here:
http://www.spywareinfo.com/
http://www.mvps.org/inetexplorer/Darnit.htm
http://www.doxdesk.com/parasite/ - runs a little script when loading page to check for common parasites
If no joy, in IE go to Tools...Internet Options...Advanced tab, Browsing section, uncheck "Enable third-party browser extensions", click Apply, click Okay, reboot. If that solves your problem, then more troubleshooting is needed to find out exactly which program, or Browser Helper Object (BHO) is causing this problem. You don't want to leave it at that, as some BHOs are useful or necessary - like Adobe Acrobat for reading .pdf files or an essential component of Norton AV. Get BHODemon -
http://www.definitivesolutions.com/bhodemon.htm - read all about BHOs. Disable all items, and then gradually replace one or two at a time to narrow down the culprit.
If still no joy, see this site and check your File Types settings per the info there:
http://www.mvps.org/inetexplorer/answers2.htm#hyperlinks