Open a project in a new window in IntelliJ after "accidentally" clicking remember decision

It can be changed in in File | Settings/Preferences | Appearance & Behavior | System Settings | Project Opening (or, before version 15, File | Settings/Preferences | General | Project Opening)

In addition to the previous answers by Peter and Trailing Slash, Ctrl-clicking on a project in the "recently opened" list (File > Reopen Project) will open it in a new window - at least on Windows, running IntelliJ 14.0.3 Community edition. Useful if you only want to open a new window from time to time... :)

Unfortunately, this doesn't work with File > Open...

In IDEA 14 and IDEA 15, this can be found in Settings | Appearance & Behavior | System Settings -> Project Opening.