Internet Shortcuts does not open in a new window?

The Reuse windows for launching shortcuts setting is used to determine whether a new or existing instance of Internet Explorer is used when exploring a Web site using one of the following methods:
1. Double-clicking an Internet shortcut (.url file) from within Windows Explorer.
2. Opening a URL by clicking Start, and then clicking Run.
3. Using a desktop toolbar, such as the Address or Links bar.

When this setting is selected, an open instance of Internet Explorer is used to display any Web site loaded using the above methods. If the setting is cleared, then the above methods start a new instance of Internet Explorer.
To accomplish this via the registry, modify the AllowWindowReuse value in the following registry key: