The problem comes from the cocktail of the new Kaspersky 10 + new Java 2 SSV Helper.
They create a very annoying "bug" delaying the opening of new windows/tabs in Internet Explorer. The issue does not seem to occur on other web browsers than Internet Explorer.
Just deactivate Java 2 SSV Helper:
Tools > Options > Programs Tab > Manage Add-ons > Java Plug-In 2 SSV Helper (from Sun Microsystem) > Disable
Alternatively you can use another web browser (such as Firefox (good and very common) or Opera (very good but not much common), both are free) or eventually get another Antivirus (avoid Norton Anti-virus - expensive and irreliable, BitDefender is a good alternative to Kaspersky).
Hopefully Kasperky and/or Sun Microsystem will work on this bug in the near future. Hopefully...