File->new->window does not start a new session

hi,Everyone

I have a question about IE5. I found that when you open an IE window, then you open another one through this window by click File->new->window,
this new window will share information in the old window, it is not a new session.
what I want is start a new session when I open a new window this way. I am wondering if this is possible, and why this happen.

thanks very much