... or vice versa - in multiple sessions?
Windows settings for the DWG file type define how are DWG opened when dbl-clicked. Open Windows Explorer and in Tools, Folder options, File types tab select DWG - AutoCAD Drawing. Click on Details, select AutoCAD open in the list and click the 'Modify...' button. Now check 'Use DDE' if you want to open DWGs in a single session or uncheck it for multiple sessions.
When Use DDE is selected, the DDE Message should be set to [open("%1")] and Theme to System.
You may also handle (open) the DWG files with "AutoCAD DWG launcher" application (AcLauncher.exe, not AutoCAD itself).
In Windows Vista, actions for the individual file types can be set only in the Registry or using additional tools - like e.g. the applications FileTypes or File Type Doctor.
Important: Please note that in any case, AutoCAD SDI system variable should be set to 0 if you want to open DWGs in a single session (otherwise multiple sessions are used even when DDE is set).