Well, at first I had the same problem.
Solution: in the widget, for each Image tick “Display link”
In settings, enter the full link, like http://www.facebook.com/myprofile
i’ld like to add a thought to this one. Indeed: a checkbox to indicate _blank taget would be nice.
Alternatively: it seems fair to assume that custom links are external and should be opened in a new window (_blank target), whereas the other links are internal and therefore should be opened in the same window. If you automate this, you don’t need a checkbox, right?
The answer seems to be in
this site
It is not a simple job, though…