Open only the window you want

To change from folder to folder without keeping all windows open, just hold down the Ctrl key while double-clicking the icon of the folder you want to open. The window of its parent directory will be automatically closed, and you'll be left with only the window of the desired folder open.

Alternatively, depending on which version of Windows you have, you may be able to set Windows to not open a new window each time.  In Windows Me, for example, you will find the setting under My Computer/Tools/Folder options and in XP, you will find it under My Computer/Tools/Folder options/General.