Rather than new window... Another useful Mac setting not available via any UI. Open Terminal window and run following command:

defaults write com.apple.Safari TargetedClicksCreateTabs -bool true

Tested on Leopard 10.5, Safari 4.

Some useful stuff to remember. To be able to do remote desktop from Mac machine to Windows you need two following things:

1. Create a ssh tunnel in the Terminal application:

ssh SSH_USER@SSH_HOST -LLOCAL_PORT:DEST_HOST:DEST_PORT

DEST_PORT most likely to be 3389 (standard port for RDC)

2. Download CoRD.

Enjoy.