Microsoft Virtual Desktop Issue

I tried this on 2 XP PCs and when using it, any program/screen I open or close in any of the 4 desktops affects the other.
I open Excel in desktop 2, and the others have it opened as well. I close IE in desktop 4, and the others have it closed too.
I pick a new desktop and anything done affects the others. Same goes for the existing one, desktop 1, when the program is activated.
Does this have a fix?
Thanks.