It's possible to place a link inside of the marker in the Map.

<a href=linkAddress target=linkTarget title=linkTitle>linkName</a><br />Example

Don't place (double) quotes in the text. If you need a space in the linkTitle use "& nbsp;"

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If you place a link inside the infowindow then it will always open in a new window or tab!
You can use a kml-file and GeoXML to open a link in the same window (see kml sidebar).