Sorry, there's no setting to stop this.
If people agree that it's annoying in a certain context, e.g. in your search example if people would rather not have new windows open, we could consider changing it.
Sophisticated users know how to open new windows when they want new windows to open. But less experienced users often don't, and they get annoyed when search results disappear while they're looking at one result at a time. At least, that's the logic.