Southy, this requires custom code modifications.
If by "pages" you mean menu items: main, dashboard, photo, events and etc:
1. current user is not loged out when he/she clicks on menu items like "forum", "main" and etc. They are just redirected to needed page.
2. If you still want menu items to open in a new tab and don't want to dig into the .php and .html code, you can change this within your database.
Database table: ow_base_menu_item
Just change the value from "NULL" to "1" under "NewWindow" column.
3. Solution above applies only to system menu items which come with Oxwall and our default plugins.
BUT when you create new custom pages in admin panel>>pages&menus, you can specify whether they should open in a new window or not just by checking "open in a new window" checkbox.