This method uses some jquery. There is an alternative method described at Menu
Insert the following code at the bottom of templates/footer.tpl (which is a convenient place to put it).
The option item that you want to open in a new window in the following example is 1318, corresponding to option ID 1318 in admin menus
{jq} $('.option1318 a').click( function() { window.open( $(this).attr('href') ); return false; }); {/jq}
You can specify multiple options to be affected as follows (in this case option 1315 and 1318)
{jq} $('.option1318 a,.option1318 a').click( function() { window.open( $(this).attr('href') ); return false; }); {/jq}