In earlier years of web design it was more common for designers to make all external URLs open in new windows, but increasingly it is considered poor practice because, as you have discovered, it takes control away from the user.
The article Should Links Open In New Windows? makes a good point-by-point argument in support of this view.
Hackish workarounds that dynamically strip the
target="blank" attribute in your web browser exist, but you should not have to use them. These workarounds only treat the symptoms.
The only solution
Write to the webmasters of problematic sites and politely explain how disrespectful and hostile the overuse of
target="blank" is. Point out how links that open in new windows break the visitor's back button, creating a obstacle for users trying to return to their site. Make the case that their design forcefully robs users of the choice to control their own computer.
If users speak up about this problem, maybe, with time, we won't have to resort to the other
answers workarounds posted here anymore.