How to set your site to links open in a new window

When I first created my website I didn't select to make my embedded links open in a new window.  The big deal is that when someone clicked on a link it closed the site and opened the link.  This isn't really what I wanted.  Of course, I wanted them to stay on my site, even as I made other things available.  How do you change this option so that links open in a new tab?

First, go into edit page mode, found in upper left corner:
(click on image to see full sized image)

After entering edit mode, go to link you want to text and click on it:

Notice the small dialogue box that opens.  This is where you have control.  You want to check your settings and make sure the action "opens in a new window".  To do this, click on "Change" in the dialogue box.  This is what you get:

Down in the lower left you want to check the box "open in a new window" and the "OK".

It is all as simple as that, you have now made your link open in a new window.  Thanks to Briana for pointing out that my links didn't, thus inspiring me to write this tip out.