This is an optional feature which gives quick navigation to every file in Visual Studio. If you need to keep a file opened all time, you need to double click it.
Single click will open the file temporarily until you decide to open another file which opens in the same preview window. This feature can be disabled using:
TOOLS → Options → Environment → Tabs and Windows → Preview Tab → Single-click
IMO, this is a handy feature (explained here) just to avoid cluttering up the working space.