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.
Doc Muhlbaier
Duke