Internet Explorer question?

WhenI am listening to different radio stations who are using Realplayer/realaudio through internet explorer with it minimized; and when I click a shortcut saved for an entirely different site, the radio minimized site opens on the desk top to load the short cut to the site I choose, cuts off the radio streaming then loads the shortcut site. How do you stop this happening please? The site below is an example for you to see what I mean.
http://www.abc.gov.au/newsradio/
I am sure there is a tip you could give me as this is a most annoying minor happening.
I am using XP/SP2 with Internet Explorer 6.0
Why when I click a shortcut doen't Explorer open a new Window? thanks

I have found the answer to my problem myself. It is as follows:

In IE go to tools/internetoptions/advanced/browsing/uncheck/disable "reusewindows for launching shortcuts"
I thought it would be something simple, but that certainly auto opens a new brower window when clicking on favorites or shortcuts. So no more loosing my streaming when clicking on a shortcut or favorite -

By the way, a related tip that may help you in future is you can launch new windows if you press shift and click on the link, when normally they would open in the same window.