I like to save frequenly visited web sites on my DESKTOP, in icon format.
I just completed re-installation of WINDOWS XP (whew!).
Now, however, when I click on a DESKTOP icon to select that web page, that selection replaces a prior selection in my browser window (INTERNET EXPLORER used).
Before the WINDOWS XP re-installation, a click on a DESKTOP icon would produce a new web page. I was able to have many web pages open at once. Presently, only one web page stays open since the prior web page gets automatically replaced by the new web page selected.
I had this %$&*#@& problem before but I forget how it was solved.
Internet Explorer -> Tools -> Internet Options -> Advanced -> Reuse windows for launching shortcuts (when tabbed browsing is off)
Could that be the setting you need to change? The part in brackets is for IE7+ but I think the actual option itself has always been there in IE if I recall.