I think it bothers some people because it's so unnecessary, and they could end up with a lot of open tabs.
Interesting enough, some of the links on the menu uses "document.location", which targets itself, and other links will use "window.open", which opens the link in a new window. Links within a page uses "_blank" which also launches a new tab/window. This should explain why some people get new tabs/windows while others stay on the same page.
For example, if you click on "Power Filters", it should stay on the same tab, but "Powerheads" should open a new one. On "Power Filters", if you click any of the links (Penn Plax, Hagen, etc), they will open a new window.