Are you actually creating a new activity with "Project->Add New Module->Activity Module" or are you just loading a new layout or view over the first? There is a difference between Activities, Layouts, and Views. The back key defaults to closing the topmost Activity, so if you are just covering it up with a view, then the entire activity will be closed.
Read the beginner's guide Chapter 13.2 for an example of using multiple activities.
There are times when opening a new activity isn't what you need, If you just need to open the one WebView temporarily, then the method you are using will probably work just fine. However, from your first post, it sounds like you have several of these views that need to be opened at various times. this could cause complications, especially if the orientation changes or the app is sent to the background (phone call comes in, another app started, etc...), then you would need to keep track of all the views' state. It might be more feasible to create a new Activity module for each of these views.