Become a MacRumors Supporter for $50/year with no ads, ability to filter front page stories, and private forums.
You need to set the web view's policy delegate, and then implement the webView:decidePolicyForNavigationAction:request:frame:decisionListener: method, something like this:

Code:
- (void)webView:(WebView *)sender
        decidePolicyForNavigationAction:(NSDictionary *)actionInformation
        request:(NSURLRequest *)request
        frame:(WebFrame *)frame
        decisionListener:(id <WebPolicyDecisionListener>)listener
{
    [listener ignore];
    [[NSWorkspace sharedWorkspace] openURL;[request URL]];
}


Edit: I can't get that code to format, but it should do what you need.
 
Register on MacRumors! This sidebar will go away, and you'll see fewer ads.