So do I infact, but this might be a setting in Internet Options.
Look for a setting that only allows one window to be open or something. I would check myself but I have disabled Internet Explorer's internet and it won't let me open the options...
Or a setting that stops pages opening in new windows, and just uses the same one. That might work, but you'll have to keep pressing Back.
If this fails, I really do suggest Firefox which is a safer alternate to Internet Explorer.
Give it a try, it'll run alongside Internet Explorer fine and even lets you import favorites and History
It also has tabbed browsing instead of opening new windows, which allows you to select the one you want to use from within the first window. Really clever