I saw a couple of threads on this subject but not the anwer I was looking for.

I wanted to open the download in a new window so if the customer closed the download window it didn't close the entire e-store winlow.

To do this change the following file

catalog/includes/templates/template_default/templates/tpl_modules_downloads.php

Line 72 from
Code:
 <td class="centeredContent"><?php echo ($is_downloadable) ? '<a href="' . zen_href_link(FILENAME_DOWNLOAD, 'order=' . $last_order . '&id=' . $downloads->fields['orders_products_download_id']) . '">' . zen_image_button(BUTTON_IMAGE_DOWNLOAD, BUTTON_DOWNLOAD_ALT) . '</a>' : '&nbsp;'; ?></td>
to

Code:
   <td class="centeredContent"><?php echo ($is_downloadable) ? '<a href="' . zen_href_link(FILENAME_DOWNLOAD, 'order=' . $last_order . '&id=' . $downloads->fields['orders_products_download_id']) . '" target="_blank">' . zen_image_button(BUTTON_IMAGE_DOWNLOAD, BUTTON_DOWNLOAD_ALT) . '</a>' : '&nbsp;'; ?></td>
Remember to use the template override feature.