It sounds like you are looking for tabbed browsing which is not native to I.E. Mobile. However, there are 3rd party plugins that will make this possible. But in the end, if this is really what you want to do, you should probably look at some other browsers with tab capability. You may want to look at the Opera browser for starts.
If you're using WM5, I don't think you can use MultiIE. Try PIEPlus. It's a great plugin for pocket internet explorer. Similar to MultiIE recommended by Noisy Crow.
Pieplus was my favourite IE plugin..
also consider netfront and opera
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webby looks promising. I bought MultiIE before I upgraded to WM5 and loved it. They keep saying that they are going to release a WM5 version but it has been a long time that they have been saying that so I might jump to something else. I really like the tabbed browsers on the pda.