I understand why you think it ought to behave that way: you're used to Windows.
There are some fundamental differences in the way applications work between Macs and Windows. On Windows, you can have many instances of the same program open. If you double-click Explorer, it'll open a new instance. On the Mac, there is only ONE instance of any program, but these instances can each control any number of windows. This is largely possible because of the global menu bar, like nixgeek explained.
The Dock is an application switcher. You might not be used to this concept, since Windows deals less with the concept of 'applications' and more with the concept of 'windows'. (Again, this is because of the global menu bar, the single most significant difference between the Mac OS and everything else.) Since there is only ONE instance of any program, clicking on an icon in the Dock simply brings it to the front. If I got a new document every time I switched apps from the Dock, I'd lose my sanity within minutes!
I do hate to be one of the guys who answers questions with something like
"it doesn't work that way! It shouldn't work that way! You shouldn't want it to work that way!", but if you understand the reason it works the way it does, I hope you'll be able to better adapt to it and use it to your advantage. This is one of those basic differences between OS X and Windows that can drive switchers half mad (you are not alone). But once you get used to it, I think you'll like it!