Thank you for your post.
I am partially able to replicate the problem. Let me explain.
In my Test file, I had to add the database file to the Relationship tab of Manage Database. Then, I created a script with one script step:
Set Field [ Second File::gName ; "TSGal" ]
After saving this, I looked under Window -> Show Window ... and the Second File was listed.
I then went back into the script, disabled the script step, saved the script and ran the script. No problem. I looked under Window -> Show Window and the Second file was still listed. I attempted to close it, but looking under Window -> Show Window, the file would return.
Once I closed the original file and reopened it, Second File was not listed under Window -> Show Window. I ran the script and the Second File still does not appear under "Window -> Show Window".
This was the same behavior on Mac OS X 10.5.8, 10.6.5 and Windows XP.
If the second file is referenced in the Relationship graph, and the second file is open, it appears the second file will remain open until the original file closes the file. Once the original file is opened, the second file will not open until there is a reference to it.
Let me know if you can confirm.