I believe that is standard behavior when you double-click and have OPEN as the default association in Windows, I don't know of a way to open another tab in the PC SAS user interface.
One work-around is to change the windows default to something other than OPEN (say notepad or some other editor) and then you can use the right-click to explicitly send it to PC SAS.
Another approach is to use Enterprise Guide as your SAS user interface (there is a paradigm shift for old-time SAS users, but there are advantages after getting over the short learning curve). Then if you double-click on a filename with the .sas extension, it opens in a new task in EGuide.
I don't know how to get the OPEN behavior to change.
From windows Explorer, to open a file in EE I just drag and drop it into/onto an EE window. The file is opened in EE in a new tab. You can select a number of files and drop them -- all opened in separate EE tabs.
While not what you want perhaps an acceptable alternative.
EGuide doesn't show in the setinit. It is a separate product that provides a GUI user interface to SAS in a client-server framework. I think that it comes bundled with SAS 9 for the PC, but your site rep would know for sure if you have it.