changed after Excel XP (2002).
I think I know what you mean. I have Office XP (2002), and if I open Excel itself, then open more than one Excel file, either from File > Open, or dragging and dropping from Explorer, then they will all open in the main Excel program window, and each can be minimised to tabs within the program window itself. Only one Taskbar icon is used.
But in my Office XP (2002) Word, I don't see that. opening more than one Word document opens new program windows, with an icon in the Taskbar for each.
HOWEVER! Looking at the advice above, I have just found the option, in Word, for setting this the way I like, ie only one program window open, and this stops additional taskbar icons from displaying and also groups together multiple documents into the same program window where they can be minimised to tabs. In Word that is in Tools > Options > View tab, and then de-select the "Windows in Taskbar". I wish I had seen that before! 
So, I don't know if Excel/Office 2003 will be the same, but in Excel, goto Tools > Options > View tab, and see whether the option "Windows in Taskbar" is ticked. If so, untick it. Try it with a couple of Excel workbooks open, and see if that groups them together into the one Excel program window.
Mark
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