The easiest way I've found is using SHIFT + Enter when focus is on the link.  It's the keyboard equivalent of SHIFT + Left Click, which forces a link to open in a new Window rather than a new tab.
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Brian - Windows 10, 64-Bit, Version 21H2, Build 19044  

Here is a test to find out whether your mission in life is complete.  If you’re alive, it isn’t.
     ~ Lauren Bacall