Go to Tools | Internet Options | Advanced.
Uncheck "Reuse windows for launching shortcuts".
Also, if you have Yahoo Companion, Google toolbar, MSN toolbar, a firewall,
EarthLink (or another pop-up blocker) My IE2 (a shell for IE) etc.
Yahoo Companion is a very common cause.
You'll have to turn off the feature that's blocking new windows or, perhaps,
uninstall the program (especially uninstall Yahoo Companion).
With some programs of this type, using Ctrl+click or Shift+click will allow
a new window.
If you're *sure* that another program isn't causing this, these links may
help.
http://www.mvps.org/sramesh2k/IEFAQ.htm Tips #21 & 46
http://support.microsoft.com/?kbid=281679
http://www.fjsmjs.com/OE/nolinks.htm
http://inetexplorer.mvps.org/answers/27.html
http://inetexplorer.mvps.org/answers/26.html