Make certain you set any links to "open in a new window" when you link to another site. Try to not ever have visitors to your site move out of your site to another site...and then not have your website page still open.
To link: highlight the text you wish to link, click on that link icon in your visual editor, and you'll see a pallet popup. Into that, insert your URL (http://thedomainnamelink.com) and then also check the little box that says "OPEN LINK IN NEW WINDOW/TAB"