As far as I've seen, this needs to be fixed in your computer settings, not Excel.
1. Close Excel
2. Open My Computer
3. Go to Tools > Folder Options > File Types
4. Scroll down and choose XLS in the list of file types
5. Click on Advanced
6. Uncheck the Browse in same window box
7. In the Actions section, highlight Open
8. Click on Edit
9. Make sure in the Action box it says &Open
10. Make sure in the Application used to perform action it says:
"C:\Program Files\Microsoft Office\OFFICE11\EXCEL.EXE" "%1"
11. Check the box next to Use DDE
12. Remove anything that is in DDE Message box and DDE Application Not Running box
13. Make sure the Application box says: Excel
14. In the Topic box it says: System
15. Click on OK > OK > Apply/Close to save your changes.
You've just taught your computer to open every new file in a separate window, a separate instance of Excel. Not sure you're going to like that. It bugs me sometimes, but I'm used to it by now.
Now open you file and click on a link to another file. It should open in another window. If you have Excel maximized, that might not be evident at first.
Since the windows are independent, put them where you want.
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