Internet Explorer closes all windows instead of just the one i want

Hello,

First time on here and was hoping someone would be able to help me with this.

If I click a link on a site which opens a new window, when I am done on the new page and want to close by clicking the x, it will close both windows instead of just the second one that I want to close.

I use Internet Explorer and think it is just a setting somewhere to just close the one window but I cant find it. I like IE and would like to keep using it but this is driving me nuts. One other item that it does, if i have three completely independant sites open (not linked from another), if i close one of them it goes into thinking mode and closes, and reopens a new one in place of the one i closed.

Any thoughts. Thank you in advance