Step 1:
Click on Appearance >> Menus from the WordPress sidebar.
Step 2:
Look for the Screen Options drop down menu in the upper right corner of your browser window.
Step 3:
Under Show advanced menu properties heading check the Link Target checkbox. Note: there is no save button, it automatically saves.
Step 4 (optional):
Collapse the Screen Options menu. Click on screen options.
Step 5:
For your menu item, check Open link in a new window/tab checkbox.
Alternative title: wordpress menu custom open in new window
Inspiration behind this article and how it appeared in WordPress version 3: http://richwp.com/open-wordpress-menu-links-in-new-window/
Creating this guide
Jing was used for screenshots and JPEG & PNG Stripper was used to remove PNG metadata.