As The Hitch Hikers Guide says, Don't panic! It's a setting that's changed. I can't remember the exact route, but I think it's under Tools, options & advanced. I'm sure somone using IE6 will correct me if wrong.
If you wish to easily have multiple web pages open I suggest you switch to IE7 (Beta)click here It's easy to use, your favourites are automatically transfered and best of all you get tabbed browsing! I have used it since the launch and find the latest version stable and error free.