It depends on if you are trying to make it look like your url/webpage has something directly to do with the sponsor then link straight to it. If you are clear that your webpage is sending them somewhere else then open in a new window as they will go to the sponsor & they will still be on your site to look at whatever other stuff is there (this would work as long as you have no pop-up hell).
90% of links on all my sites open in to a new window...
