With IE6 I have found it depends on the webpage... authors can write the code to open pages in the same or a new page. But you can force it by rclicking a link and making your choice.
I don't know of an IE setting, but then again, I only use IE when a site forces me to, like some Microsoft stuff. Firefox and Opera are my choices. And with both of those you can make a default setting about new or same tab. But a page's script may still override those settings.... the rclick menu is the ultimate decider, though.