It's a good idea to make some links open in a new browser window, for instance, if you have a link to an external site it's better that people don't have to use the browser back button to get back into your site.
To do this:
Select the HTML text, graphic item or existing link and open the Hyperlink dialog from the Edit menu (or Command-k)
Create the link if you haven't already done so
Select "_blank" from the Target pulldown
Click Ok
You can do this for both internal and external links.
Another option is to make a JavaScript link using the Link to New Window or Text Link to New Window Actions. Doing this will allow you to select a page to link to (internal or external). You can then specify the size of the window and whether it should have the default features or not such as the toolbar, a scrollbar and whether it should be resize-able.