I already know that
Set the 'target' attribute of the link to
<a href="#" target="_blank">Link</a>
Edit: for other examples, see here: http://www.w3schools.com/tags/att_a_target.asp
(Note: I previously suggested
blank instead of
_blank because, if used, it'll open a new tab and then use the same tab if the link is clicked again. However, this is only because, as GolezTrol pointed out, it refers to the name a of a frame/window, which would be set and used when the link is pressed again to open it in the same tab).