I agree you might want to try a different browser such as Firefox, Opera, Chrome, Safari, etc.
But please forgive a silly question (I'm sorry, we never know the level of knowledge of folks with whom we are speaking) - When you say a new "Window" opens do you mean a second instance of IE or a new tab? If it's actually a new Window you should change the options to open a new tab rather than a new window when you click on a link.