Opening a new Instance of IE8 does not start a new Session.

Hi,
I have been working with IE8 for some time now and everythign was working
fine, till a week ago. My problem is when open a new instance of IE8 it does
not create a new session. It continues with the session of an open window.
e.g. I open Yahoo mail in one IE8 instance and login to my yahoo account. Now
I open another instance of IE8 (from start menu) I directly land up to the
account in which I have logged in from the previous window, instead of taking
me to the login page. hence I cannot login to another yahoo account.

Same is the case with an intranet site i have developed. It does not take me
to the login page, instead, it directly takes me to the home page. Not only
that the session variables also get shared by the two windows.

Why is this happening?