My pleasure!
Yes, you can set a menu link to open in a new window.
First you need to display the "Link target" field, by following the instructions under "Can I configure link targets?" here:
http://en.support.wordpress.com/menus/#additional-info
After you check off the "Link target" box that you see in the screenshot above, a new checkbox will be displayed on each your menu items which says "Open link in a new window/tab." Just check off that box for any menu items you'd like.