New Windows

I want to always open new windows (i.e. not just a new tab in existing window)
I thought I could set this up in internet options, but I can't find it.

There are some options for this in Internet Options > General > Settings (in the Tabs section). There are two option groups at the bottom. Is that what you were looking for?

Internet Options-Tabs-Settings-Show Previews for individual tabs in the taskbar*

Tools/Internet Options/General/Tabs/Settings/"Open links from other programs in a new window"