If our site using RSS feed from other sites and people click links inside it then it will open the links in same Windows. it would be not good for us as website administrator. How we avoid this?

We can use External Link module to solve this.

External Links is a small module used to differentiate between internal and external links. Using jQuery, it will find all external links on a page and add a small icon indicating it will take you offsite. You may optionally make all external links open in a new window.

Download:

Drupal 6

Drupal 5