This is really easy to do, but Squarespace makes you go through several steps.
All you need to do is go to the page with the link you want to edit. Choose Edit Page and then highlight the link. This should bring up the link editor (if not you can click the link button on the toolbar.)
Now this is where it gets tricky. You have to go to edit, THEN you have to click the gear icon, THEN you need to switch the toggle switch to open link in new window. THEN you have to click save at the top of the link editor window. THEN you have to click "apply' at the bottom of the little link editor box. THEN you have to click on "save" at the top of the page editor to save your page.