I'm using Internet Explorer on an XP system

I will have my main internet window open. Some links will open into a second smaller window. When I close out of that second window, that causes the first window to close as well. Sucks if you have a few tabs open in the first window, lol

I've tried to look for a setting under Tools> Internet Options> Advanced, but didn't find anything. Didn't find anything with a Google search either

Anyone know how to fix the problem? Thanks