Are you sure your aren't seeing tabs? I just checked my copy of CS5 (with tabs turned off) And I get individual windows for all new files. The default tabbed interface can be a little difficult initially because it acts stupid. Your first document looks like a normal window. Then, if you open another new document, PS adds a tab bar below the normal Mac window frame. It's easy to miss.
To turn off tabs, go to Preferences > Interface, and un-check "open documents as tabs"