Have you got security software running such as a Firewall which will block pop-up windows, or specific advertising blocking software? If you have it is possible that this is closing some windows down as it senses that they are adverts.
Try holding the Shift Key down and clicking on a links. This will open the pages up in new windows. Do this with and without the Firewall or Ad Blocking software running. It should be okay to shut down your Firewall for a minute or two. Don't be too paranoid. (Or better, it maybe easy to find the Firewall’s Popup blocking function and so you can turn this off. In ZoneAlarm the function is located in PRIVACY > AD BLOCKING > CUSTOM.)
Dan
November 2003