More info needed! What type of browser and computer are you using? I'm assuming it's a PC...?
Don't know of a setting that automatically closes windows down - could be a virus. Try Tools, internet Options Advanced tab and click the restore Defaults button to at least reset your browsing options.
Also, to use more than one window for browsing you should Right Click on a link and choose Open in New Window; simply clicking on the link does not open the link in a new window by itself; if you've got an especially slow connection this could explain the "symptoms" of your problem.
Also need more information about your machine opening things in a small window; do you mean Word documents? Websites? You could manually resize the window by dragging the edges out; click and drag on the bottom right hand corner.The next tme the window opens it should be the new size.