If your links are inside of a post/page (not in the menu or page list), then it is most likely attributed to the way the template creates your permalink. If it is using hard-coded anchor tag and the_permalink() function, it will not open in a new window because the template is not having the entire link created so the new window portion can be created if needed.
One work around would be to edit the theme template file like the example below.
Add this inside the loop before the call to the_permalink():
$ppr_newwin_text = '';
$ppr_nofoll_text = '';
$ppr_active = get_post_meta($post->ID, '_pprredirect_active', true);
$ppr_newwin = get_post_meta($post->ID, '_pprredirect_newwindow', true);
$ppr_nofoll = get_post_meta($post->ID, '_pprredirect_relnofollow', true);
if($ppr_active == '1'){ //if active
$ppr_newwin_text = ' target="_blank" ';
$ppr_nofoll_text = ' rel="nofollow" ';
}
And this inside the anchor tag for the permalink:
<?php echo $ppr_newwin_text.$ppr_nofoll_text;?>
So it would look SIMILAR to this (depending on your template):
<a href="<?php the_permalink(); ?>" title="<?php the_title_attribute(); ?>"<?php echo $ppr_newwin_text.$ppr_nofoll_text;?>><?php the_title(); ?></a>
Hope that helps.
Don