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Don't click or press ↵ Enter or ⏎ Return yet. If you want to open the link in a new background tab, hold ⌘ Cmd (Mac) or Ctrl (Windows) instead. If you want to open the link in a new foreground tab, hold both ⌘ Cmd+⇧ Shift or Ctrl+⇧ Shift (Windows) instead. This will open it in a new window.

Summary:
Find the link you want to click or enter the web address you want in your URL bar. Hold down your ⇧ Shift (Mac) or ⇧ Shift (Windows) button. As you hold the button, click the link you want to go to, or press ↵ Enter.