Your problem may depend on exactly what type of links you are trying to open. Have you tried turning off the popup blocker?
Could you give us a specific site and the link you are trying to open? Can you copy and paste the link in the address bar and reach the linked site?
I can't remember about Java Script, but there are several options in the Internet Tools, Advanced options. You also might try going to the Internet Tools, Advanced Tab and use the Reset button on the bottom. This will wipe out your history and perhaps cookies and such.