the only way I have been able to recreate this behavior is to open the link dialog box, Go to the target tab, an select Blank for the list, then back to Link Info and change the Link type to Link to Anchor in the text.
When you go to the target tab, is Blank selected by default?
the default target can be set in the fckconfig.js file ion the HTMLEditor folder.
find the following line:
FCKConfig.DefaultLinkTarget = '' ;
and change it to:
FCKConfig.DefaultLinkTarget = '_self' ;