As with everything, keeping your browser windows open while you run all of your tests will not work in every instance.
If you use InternetExplorerDriver, you will probably nd when using slightly older versions of Internet Explorer (for example, Internet Explorer 8 and Internet Explorer 9) that your tests will get slower and slower until they grind to a halt. Unfortunately, older versions of IE are not perfect and they do have some memory leak issues.
Using InternetExplorerDriver does exacerbate these issues because it is really stressing the browser. As a result it does get a lot of unfair press. It's an excellent bit of code that deals with an awful lot of crap thrown at it.
This is not to say that you can't use this method; you may not see any issues with your site.
Removing the browser shutdown and start-up time after each test really does make a massive difference to the speed of your test runs. You should always try to keep the browser open whenever realistically possible.
The only way to be sure if it will work for you is experimentation and hard data. Just remember to do that investigation rst. Once you are done, you should then tailor your thread usage to each browser/machine combination. Or you should set a baseline that works with everything in your environment.