In IE > Tools > Internet Options, then General tab, open the Tabbed Browsing sub page and make sure "Enable Tabbed Browsing" is selected.
If that doesn't do it, look at your IE Add-ons, (IE > Tools > Manage Add-ons). Start an elimination test to see if any of the add-ons are causing this.
Mark
Recently updated from XP Pro to Win & Pro;
so now using IE 8.
Unable to use either "Open in New Tab" or
"Open in New Window"
With New Tab command a Tab opens but nothing happens
eg there is no URL at base showing where page is going
With New Window nothing at all happens.
Have checked all settings I'm aware of or can find ...no luck.
MS WEbsite hopeless...too many red herrings and far too much
reading demanded, often on irrelevant topics.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic