The short answer is that it must be coded that way!
Are you using a WYSIWYG editor? If so I would guess that there is some setting somewhere which is currently set so that it codes every link to open in a new window.
As ade.h says, post a link so we can take a look at the code. Also let us know what you are using to create the site then someone may be able to give you specific help to change the way it is handling links.
Sorry guys, I never received notification of any responses. I'm using FP 2000 (can't get 2003 to upload). I know what wysiwyg is but not sure about that. The web is at click here not the best build you will see I'm afraid.