"IE8 on Vista and Windows 7 has a new security restriction that is turned on by default for ALL zones on the security tab.
Bottom line - the Window.Open() function will not work if you don't specify at least the new window size or position in the function call."
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.