There are two common causes for why this may be occurring.

1. Popups have not been enabled for the site.  If the admin's individual browser is preventing popup windows from loading this would cause the new window to remain hidden.  If this is the case there should be a warning on the browser, advising the admin that a popup window was blocked and steps they can take to correct this.

2.  By default the system will only allowe on preview window at a time.  If another window or tab contains a previewed page, clicking Preview again will cause the original preview to refresh rather than open a new window.  This can be easy to overlook if one is using multiple windows or tabs.  If you're not seeing a new preview window try closing unused tabs/windows.