As far as I can tell you need to do this in HTML
<a href="http://www.example.com" target="_blank">Click me</a>
Fiddle here; try removing the target and you’ll see it will stay on the same page :
(the target being the key) but I can’t see a way to specify the target in Anvil.
Worth noting as well that it does depend on browser settings to work (I believe it can be overridden).