You might be having some problem elsewhere, or there's an aggressive popup blocker that is blocking the new window, because the following short example works perfectly in my browsers (Chrome and Firefox):
<!DOCTYPE html>
<html>
<head>
<meta http-equiv="content-type" content="text/html; charset=UTF-8"/>
<title>Google Maps API InfoWindow Demo</title>
<script src="http://maps.google.com/maps/api/js?sensor=false"
type="text/javascript"></script>
</head>
<body>
<div id="map" style="width: 400px; height: 500px;"></div>
<script type="text/javascript">
var map = new google.maps.Map(document.getElementById('map'), {
zoom: 4,
center: new google.maps.LatLng(-25.36388, 131.04492),
mapTypeId: google.maps.MapTypeId.ROADMAP
});
var infowindow = new google.maps.InfoWindow();
infowindow.setContent('<a href="http://www.google.com/maps?'+
'daddr=Aliso+Viejo,+CA" target="_blank">Driving Directions</a>');
var marker = new google.maps.Marker({
position: map.getCenter(),
map: map
});
google.maps.event.addListener(marker, 'click', function() {
infowindow.open(map,marker);
});
</script>
</body>
</html>