<p>When you use the WebBrowser control in .NET you can "embed" an instance of IE in your application, essentially making your own IE-based Web Browser.</p>

<p>Does anyone know how to make any new windows created (like when the user selects "Open in New Window" from the context menu) open up in another Window of Your Web Browser Application, instead of the computers default browser??</p>

Maybe the Source Code from this CodeProject article can help:
Extended .NET 2.0 WebBrowser Control