If you are using the newest version of WP. (1.8)
Go to:
appearance>>menus
At the top under your login credentials you’ll see a tab that says screen options. “Screen Options” Made sure “Links” and “Target” are checked.
Then on the left column you’ll see “Links” Click that.
Enter the URL and the text you want to show in the menu then click ADD TO MENU.
In the menu, click on your new item… and select the “Link target” drop down and choose “New Window or Tab.
Good Luck.
Syl