I assume you are using IE6. If you were using IE7 or Firefox it would be a simple matter of opening another tab.
However, you need to open a new window.
Click 'file' at the top of your screen, and 'new window'.
Your existing window will remain open, but hidden behind the new window.
Now open the web page in the new window, copy the link and either:
Close or minimise the new window;
Bring the original window to the front by clicking on it at the bottom of the screen;
or
Press Ctrl and tab together to 'toggle' between the two windows.
There are other ways, but that is enough for now. :)