Strange. Perhaps not what you are asking for, but how about trying a different browser like e.g. Opera.
It supports tabbed browsing (several sites open in one browser window) and multiple browsers.
I’m just guessing here but maybe you have installed XP SP2 if you are using windows xp. I noticed after installing sp2 that IE can already block pop-ups and other stuffs.
I suggest you try other multi-tabbed software so as not to clutter your desktop like opera, netscape or firefox. Opera is my favorite and is the fastest browser I have tried so far.
Check the IE icon on yr task bar. The SP2 seems to be a bit conscientious about consolidating multiple open browsers into a single icon. It labels as IE1, IE@, etc.