How to open multiple HTML files in one IE window

[sdkfz]

There is a IE help section that states:

To use Windows display settings on Web page controls

In Internet Explorer, on the Tools menu, click Internet Options.
On the Advanced tab, select the Use Windows display settings on Web page controls check box.

Only I do not have this in my advanced tab. (OS XP home and IE 6)

I am trying to help some co workers in another state - OS used NT 4 and 2000 IE not known) who get a set of individual reports in html format, The want to open them all at once in a single window to review then print. The NT user says he can open all files in one IE window, the others can not. What am I missing?

The html code has new window statements near the top which makes sense given what they are, but then why can the NT usr use a single window?