how to make links open a new window?

You can change it, but it will take some work. It's probably the easiest, if you are using our WP plugin, since you can modify that to insert some additional Javascript code.

What you have to do is execute:
zQuery.zemanta.platform.links_template = function () {
return new Zemanta.helpers.ZTemplate('{anchor}');
};

But do it after widget has loaded.

Since widget gets loaded of internet, it is not possible for you to change our Javascript directly, even though we wouldn't mind if you did. What you can do, if you are using our WP plugin, is change zemanta.php inside of it.

It contains function zem_wp_head, where you can add another print statement after all the others, which will add a delayed execution of above statement. Simplest would be something like:
print '<script type="text/javascript">window.setTimeout(function () {zQuery.zemanta.platform.links_template = function () {
return new Zemanta.helpers.ZTemplate('<a href="{href}" title="{title}" rel="{rel}" class="zem_slink" target="_new_win">{anchor}</a>');
};}, 30000);</script>';

This will change behaviour off links to open in new window, but will do so only after 30 seconds, so you would need to wait a bit before you could use it.

Please let me know if this works for you or if you need further assistance.

Well, same things needs to be done, but you can't do it this way. You could do it through Geasemonkey script, if you have that add-on installed or through a bookmarklet.

I'll write the latter and get back to you soon.

I see that first part of my original comment was mangled by GS and wouldn't work anyway. Anyhow, I've written the bookmarklet and you can find it here.

Just add link on that page to bookmarks toolbar by dragging it there and click on it after our widget loads. Links added through our widget afterwards should open in new window.