Hmm, I too am confused.

I'm using latest Mozilla, but an early version of Firefox, so I downloaded FF 1.5.0.6, and installed on a system which had never had a previous FF install.  Leaving everything at default, and using no proxies, no blockers, no special settings, nothing, I logged into R'osity and clicked on wolmol's Delivery Truck:  a winodw opened and displayed www.poseatier.com.  Without touching  the download window I then went back to R'osity free stuff and clicked on EvilInnocence's Short Dress Textures:  www.evilinnocence.com appeared in the SAME window as, and thus overwrote, www.poseatier.com.  To confirm this I clicked the Back button on the window displaying www.poseatier.com, and www.evilinnocence.com appeared.

With "old" style Free Stuff I would have had a total of 3 windows open after performing the same steps:  R'osity Free Stuff, www.poseatier.com and www.evilinnocence.com  (and teh Back buttom would have been greyed out on both of them).