I believe this is probably a Windows issue caused by selecting a search result item from the Start menu, which closes the Start menu and forces you to perform to perform the search all over again.

When you do a search, try clicking on the "See more results" link before clicking on any individual items. This will bring your search up in a new window, from which you should be able to open items resulting from the search without losing the search window itself.

Hope this helps.

-SW