Yes, from any IE page, click on Tools, Internet Options, Advanced, and in the Accessibility section, UNcheck: "Reuse Windows for launching shortcuts."
That certainly worked. thank you for the tip. However, when I close any of the open sessions, it closes them all.
Yes, I tried it, and it happened to me too. But here's something interesting: even though, when you click on any links in Favorites, your new pages won't be in separate windows, HOWEVER they
will be in separate windows when you go into Favorites
through Windows Explorer! And they will, of course, also be in separate windows when you do any search from your browser. (The way you can tell, is if you look in the upper left-hand corner of your screen, at your back arrow. If the back arrow is grayed out, you're in a separate window and only that window should close when you exit. If the back arrow is dark blue, then you're not in a separate window and you will lose the internet connection if you don't go "back" to your previous page.) By the way, your home page, and most search engines, browsers, etc., should also have a "preference" or an "option" setting for you to open search pages in separate browser windows.
You can do a similar setting for your tabs: Go to Tools, Internet Options, and on the first page at the bottom, in the Tabs section, select Settings, and then in the: "Open links from other pages" section, sellect either "a new window" or "a new tab in the current window." (You can try them both and see what happens with each.)
In addition, you can also set your general folder preferences this way: from any Windows Explorer page, go to Tools, Folder Options, and in Browse Folders, select "Open each folder in its own window."