Tools>Internet Options>Advanced, then scroll down to 'reuse windows for launching shortcuts'. It's documented in http://support.microsoft.com/?kbid=241911
It might not work for links inside IE. Then in stead of left click, use right click and choose 'Open in new window'. That surely works.
You might like to use Firefox in stead of IE. It has left click for open in same tab and middle click (on scrollwheel) for open in new tab. I find this very nice.
In circumstances the author of a webpage may specify that a link opens in a new page. Then it will happen automatically in IE. That's the way he codes the link in html (target=_blank).
Hope this helps.
I'd appreciate it if someone could let me know how I can stop a newly opened window from replacing one that is already opened ?
I run Internet Ex and windows XP