I have the same problem running win98 (not SE) with K-Meleon 0.6. I often use "rightclick->open in new window" for links on a page and found that it will normally take two tries before K-Meleon gets it right. Otherwise, I get a 404.
For instance, suppose I have told my browser to open a link in a new window. The link has the url of
http://www.site1.com/aaaa/bbb.htm. While it is opening that browser window, I open a new instance of K-Meleon with my start page at
http://www.google.com. The second window (the one I wanted to load google in) gives a 404 with the address line of
http://www.google.com/aaaa/bbb.htm instead of
http://www.google.com ... thus the 404.
This is frustrating as I often browse with 5 or 6 browser windows open at a time (if I'm researching).