It's not clear how you're accessing a second website after you've minimised the first window. Obviously, you're not typing the URL into the address bar or using 'Favorites', so I assume that you're using a shortcut from the desktop. If so, it seems that you've got 'Reuse windows for launching shortcuts' activated. To de-activate it, go to Tools > Internet Options > Advanced. Under 'Browsing', click to remove the tick alongside 'Reuse windows for launching shortcuts'. Click 'Apply', then 'OK'
The above assumes that you're using Internet Explorer 6 (or earlier). IE7 offers tabbed browsing (which makes it easier to keep several websites open at once). However, IE7 still isn't as good a browser as the one which introduced tabbed browsing, i.e. Firefox. It's the browser which is used by the vast majority of the 'regulars', here on AB:
http://www.mozilla.com/en-US/
Chris