Hi Jerric, welcome to WebmasterWorld!
No opening a new window on a click will not affect SE rankings.
As for whether or not to do it, I've seen some posters take an "of course you would want to always open a new window" attitude, to keep surfers glued a site to the greatest degree possible. I would take strong exception to that.
Have you ever entered a site where every click opens a new window? It is one of the most infuriating things on the Web, and for most right thinking surfers, a sign to head for the exit fast, assuming you can find an exit without closing the browser completely.
That said, there is probably a very wide range from the conservative to the aggressive when it comes to what a webmaster should here. IMHO, the choice once again comes down to what makes sense for the user, with business considerations of course factored in.
If you are running a directory where a surfer might be inclined to explore alternative links, then perhaps it is more beneficial than not to open new windows for the external links. OTOH, if you are doing it at every turn to keep the user glued to the site, you're probably creating the kind of site that that user will avoid in future.
Just my 2 cents.