classic shell does not control what display a window will open up on. this is a common windows problem, and there are a few other programs that solve this issue. (sadly I don't know of any free ones)
Display Fusion is the one I use personally (for other features) It can be setup to send windows to certain monitors automatically. however it is not an ideal solution (it takes about 1 second after the window opens. It does have a free trial if you want.
Other options like
http://www.realtimesoft.com/ultramon/ seem to have the feature requested, however I havn't used them personally.