IE open an empty tab when open more then 4 files

I have a data grid view with links to XML files and the user can open them in IE. I also supported multi line select.

The function to open the XML files is:

string pathXMLfile = "";
foreach (DataGridViewRow dgvItem in dg_autoTestStatus.SelectedRows)
{
    pathXMLfile += "\\" + dg_logs.Rows[dgvItem.Index].Cells[1].FormattedValue.ToString();
    pathXMLfile += "\\" + dg_logs.Rows[dgvItem.Index].Cells[7].FormattedValue.ToString();
    openXMLfile(pathXMLfile);
    Thread.Sleep(1500); // how can I know how much sleep I need ?!?
}

The XML files really opened in IE, but IE opening new window with one blank tab, like this:

Image may be NSFW.
Clik here to view.

Maybe someone know if I have something to do with this?

Thank you!