Your question isn't that clear.
Are saying in IE8 when you open a new window that window shares the same session as the previous window hence any login made in one is shared by the other?
If so then that would be normal behaviour and not any different to the way IE7 handled it.
OTH are you saying that when you open a new window in IE8 it doesn't continue to share the same session as the previous window? If you mean using the New Window action from the Page menu then that would appear to be a bug to me but it doesn't happen on my copy of IE8.
If by new window you mean starting a new instance of IE from quick links or Start menu then it would be correct for that to start a new session and not share session cookies with the other session you have running.
I suspect this last is the real situation, previously the standard IE link added to Start Menu or Desktop would simply open a new window using one of any existing IE sessions currently running, IE8 doesn't do that it will invoke a new session from this link.