What version of IE are you using? In pre-6.0 releases you did not have the option to run new windows in a seperate process. So anything that manipulates that process (debugger) will effect all of the IE windows.
In 6.0 they started getting a clue and put an option in (Tools->Options->Advanced?) where you can tell it to run new windows in a seperate process. If I remember correctly, this only effects new windows that are opened by clicking on the IE icon. But not windows created by clicking File->New, or by using the ctrl-N shortcut key.
If you are using 6.0, try the following to try and avoid the problem:
* Make sure you have all the lates service packs and security updates for IE 6 installed.
* Turn on the seperate process by using Tools->Options (not exactly sure where it is located at the moment)
* When running your project, try opening a new window using the IE icon rather than with ctrl-N or File->New.
With the above steps, you should not continue to run into this same problem. Let us know how it goes and if you still run into the problem.
Hope this helps.
--Sean