Yes, if you do it the way that you have in the first and second screenshot: ie you click on something in the window Sidebar, then a second window doesn't open. You can open in a second Tab within the window by holding down the Cmd key as you click.
However, try this. Double click on the hard drive icon at the top right corner of the Desktop. Then double click on San Disk icon on the Desktop, not in the Sidebar, that should open the San Disk in a separate window.
Merry Christmas to you too.