Every time I click on a link in the current page to open it in the new window, when I close the new window it closes this current window as well (plus all the other related windows)

Why is this happening?

google chrome is the way to go

Get Modzilla Firefox 3
I just switched from IE8 (beta) 2 days ago and I am loving Firefox..
it's way faser than IE and has less problem

By the way: don't download the Internet Explorer 8 Beta... it's terrible

i had the same problem and not only me and you but millions of people and now everybody is shifting to goggle chrome it's amazing, fast and very easy n cooooool.

I have no idea how to fix your problem.

But I do recommend downloading a better browser such as FireFox 3.0 or Google Chrome.

Check your internet options to see if you have one called "close all tabs". If you do, make sure that it is not check-marked.
I never use IE7 ...

You would be a lot better off using a real browser. Try Firefox 3. You'll see....!!