If you go to the top right of your screen, you'll see a tab called "Screen Options". Click that, and it will slide down - inside you can turn on which options you do or do not want to see. There's one called 'Link Target' - if you turn that on, it will add a checkbox to each item in your menu, which lets you specify if you want it to open in a new tab.
If you don't know how to make a new menu, Brijesh is right - the codex is a great place to start! This will probably help you a lot. http://codex.wordpress.org/WordPress_Menu_User_Guide