What version of DNN are you using? I have done it in 3.2.1, use this in the location of the URL:

window.location.reload(); window.open("http://www.yourlinkhere.com")

This will get it to do what you want. You need to do the javascript reload because the page sees the link click event and thinks it is opening it up in the current window. The reload will keep the window displaying what it originally had and the open just opens the URL in a new window.

That could be the problem... you are using 3.1.1 I believe all you need to do is:

under advanced settings -> other settings -> link URL

type in the url you want and add "target=_blank or "target='_blank'  that should take care of it.

The textbox for your URL should look like this:
http://www.yourlinkhere.com"target=_blank
or
http://www.yourlinkhere.com"target='_blank'

The quotation before the word "target" is to end the opening quotation that is doing the actual call for the URL variable in the code, so just link any <a href=... link we can add target=_blank to force it to open in a new window. Let me know if this works for you.