You are using IE8 which launches multiple processes to host web pages. What is happening is that the new window has its page hosted by a different iexplore process than the one Visual studio is currently attached to.
Simply open the "Attach to process..." dialog and attach to other iexplore processes that aren't current attached.
Alternatively if this is still a problem, for debug purposes you can disable this IE behaviour using a registry calue change. In the key:
HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Main
Modify the value of TabProcGrowth
to 0. Restore the default of "small" after you're done debugging.