I think it might be something else. You're talking about the PC version of the game, right (not the browser version). And I'm guessing you're playing it in fullscreen mode too. The PC version doesn't use the regular, browser method to open new windows - since it isn't running from a browser in the first place.
Try running it in a window (you change switch from Fullscreen to Windowed mode by pressing [Alt]-[Enter]). Then click on a link - you should now have a browser window open with the information you wanted.
Let me know if this works.