SYMPTOM:
A user has the 'Open drill results in a new window' Drill mode user preference checked in Strategy Web 9.x, as shown below:

However, when the user drills from an HTML document, the same window is used.
CAUSE:
This is working by design, this preference setting does not apply to drilling from HTML documents, since the drilling is of HTML documents is handled directly in the HTML code of the .xsl.
ACTION:
No action. HTML documents will always open in the same window when drilling in Strategy Web 9.x.