I was glad to see that menu allows at admin UI to add an external page, but the properties dialog for that page doesn't have a "target" window property. One would use "_blank" there to open up the external page in a new window (now it replaces the current page and user can get lost - they need to press browser's back button to go back to your site).
There are various target options in HTML, e.g. "_top" replaces the current window contents (even if your site was in some iframe for example). Using a fixed name like "library" at target would result in opening up the external page in the same window which is useful since clicking many times during interaction period that external page on the menu would not result in opening up many instances of that URL in different windows that may have gone to the back (I think browsers bring the window with that "name" to the front too)
So you could have a "Target" combobox (editbox+dropdownlist combo) at the external page menu item property dialog (same dialog is shown when creating the external page item I guess). The combobox dropdown list would have values like "Open in new window", "Replace window contents" etc. (see say w3schools.com for more) and selecting those would replace the current combobox edit value with "_blank", "_top" etc. respectively