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I realise I'm bit late on the uptake, but I just noticed this post.
I use a module called multiMenu, don't worry about the Japanese, just upload and install it reads the lang file correctly for english output.
I have found this to be a real time save for adding external links. You have options to open _blank or _parent in the module admin. I use this module mainly for custom html pages to open on my site, but it's great for linking to outside your site in a new window.
You can download it from here:
http://malaika.s31.xrea.com/modules/mydownloads/singlefile.php?cid=2&lid=9