IE does not give you the option to right-click on a Favorite and open it in a new window. Here is how to add this functionality.
1. Open up Notepad, and copy the following:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\InternetShortcut\shell\Open Favorite in New Window]
[HKEY_CLASSES_ROOT\InternetShortcut\shell\Open Favorite in New Window\command]
@=”rundll32.exe shdocvw.dll,OpenURL %l”
2. Save the text file and rename it to “IE_Favorites_NewWindow.reg” (for example). Then merge it into the registry by double-clicking it. Open up Internet Explorer, and go to your Favorites. The new option will be in the right-click (context) menu.