To demonstrate on two files:
write A into file 1, then B into file 2, C into file 1, D into file 2

Now, in whichever window you use Undo, it will first remove the D, then C,
then B, then A.

While this can be useful, it is not a behaviour I would prefer, but rather
an Undo that only works for the current file. How can I turn it off? I have
the feint idea this is a new feature (I am speaking here of Excel 2003).