Unfortunately there is no such functionality out of the box so the only possible solution I can think is using JavaScript.
Put a Text/Html module in your home page and go to this module's settings. Open the Advanced Settings and check the 'Display Module On All Pages?' option. Then below that option in the Header textarea put one of the following scripts.
If you want all items that link to external URLs to open in a new window use the script below:
<script type="text/javascript">
<!--
var menuLinks = document.getElementById('smenu').getElementsByTagName('a');
for(j=0;j<menuLinks.length;j++){
if(menuLinks[j].href.indexOf('test.thinkofdesign.com') == -1){
menuLinks[j].target = '_blank';
}
}
-->
</script>
Of course you have to replace 'test.thinkofdesign.com' with your URL so the script can identify which items link to internal pages on your site.
If you want to be even more flexible so only specific items to open in a new window, then use the script below:
<script type="text/javascript">
</script>
In the above you have to replace 'Item Title 1', 'Item Title 2' etc. with the titles of the menu items that you want to open in a new window. This is case sensitive. You can add more items by adding another if statement.
And if you don't plan to use this module to put also visible text for your guests, go to the Basic Settings and Uncheck the 'Display Container?' check box so the module will be invisible.
Hope that helps.
Cheers