By default Sublime Text opens new files in new windows. I find this extremely annoying. You can change this behavior by selecting
Preferences -> Settings - Default
Find the text:
"open_files_in_new_window": true,
And change to:
"open_files_in_new_window": false,
I tried a number of searches, including "merge windows" (google chrome has this where you can consolidate several windows into one), and "sublime prevent multiple windows". Oddly there were no results. I would have though this would be in a FAQ. As it turns out it's an easy fix but not so obvious since they don't have UI for preferences.