Chris is complaining in a round-a-bout way that I link to other websites in the same window. I do, because in turn I can’t stand websites that insist on opening links in new windows. I used to care more, but Firefox naturally lets you fiddle with the settings and force them to work the way you want to work.
Anyway, if you want to click a link on a website and have it open in a new window, simply hold down Shift while you’re clicking it. If you’re using a tabbed browser, like Firefox or IE7, hold down Ctrl and it’ll open in a new tab.
If you’re in IE, as far as I know there’s no way to do the reverse – ie. force links set to open blank to actually open in the same window but maybe somebody else knows of a way.
In any case, my links are (usually) set to open in the same window, so with the Shift and Ctrl keys you can control how you view the site and its outgoing links.