There are two registry tweaks that will change this behaviour copy the code into a new file named as below.
settingsownwindow.reg
(will open folder in new windows):
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\CabinetState]
"Settings"=hex:0c,00,02,00,3b,01,e7,77,60,00,00,00
"FullPath"=dword:00000001
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]
"NoSaveSettings"=dword:00000000
settingssamewindow.reg
(will open folder in same window):
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\CabinetState]
"Settings"=hex:0c,00,02,00,1b,01,e7,77,60,00,00,00
"FullPath"=dword:00000001
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer]
"NoSaveSettings"=dword:00000000
Original answer (with fixed link) below.
Kelly's Korner, #209 right