Hi Zelia,
The delivery editor of Campaign has been developed on top of Internet Explorer. In other words, when you perform a preview it is an actual IE window embedded inside delviery editor.
So, when you open a page in a browser and click on a link, the link will open in a new tab of the same browser and this is what is happening here.
This behavior cannot be modified. If you want you can log a case with support to put a feature request on your behalf with Engineering.
Regards,
Vipul