Be default, when you click the menu item you add in Moodle, you will be redirected to that link. If you want the menu open in a new window, you can do the following (example):
In Site administration -> Appearance -> Themes -> Theme settings (or http://your.moodle.url/admin/settings.php?section=themesettings), in the "Custom menu item" box:
Moodle new window|http://www.moodle.org/" target="_blank"
But it fails if the URL has special characters like:
Moodle new window|http://www.moodle.org/?param1¶m2" target="_blank"