From the March 4, 2004 Windows Client Update:
If you’re tired of clicking URLs in email messages or applications only to have the resulting window take over the Microsoft Internet Explorer (IE) browser you’re currently using, try this simple registry edit. It will enable a new browser window to open and won’t affect the current browser window.
1. Launch a registry editor in Windows XP or Windows 2000.
2. Open the HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Main\AllowWindowReuse subkey.
3. Set the subkey’s value of type REG_DWORD to 0.
4. Exit the registry editor.
5. Log off, then log back on to activate the change.