Not sure if this is exactly what you're referring to, but if you tap and hold a link with your stylus, after a second or so a menu pops up. One of the first items is "Open link in new window".

Not terribly convenient, but it works.

i think he iss talking about links frrom external apps like mail or rss reader.

i have found that opening a empty browser window and make sure it was the last active browser window the link will be directed to it.