You can go to Tools -> Options, then click on the Tabs tab and set it so that New pages should be opened in: -> a new tab.
I have this set, and I can tell you that it doesn't always work. I think it really depends on how the site was coded if it will work or not.
One thing you can always do, and which I have gotten into the habit of lately, is right-click on the link you want to open and choose Open Link in New Tab