I think what you're looking for is a javascript that will open a link for you. As Bas noted, using a java action as you proposed will open the link on the server, not on the client. To open things on the client you need something that will run there, thus javascript.
I'd suggest building some kind of mendix theme which incorporates a javascript to open a particular window. The alternative is to wait for 2.5 and use a custom widget.