Hi ploppy, which browser are you using? There has been a report of this happening, but it depends on the default browser. Can you try setting IE as default and see what happens then?
I use Opera as default, and I find that GE insists on opening links in a new IE window (not a new tab, a new
window 
). I get the same behaviour if I set Firefox or IE7 as default. Others report that Firefox works perfectly. As you say, clicking the youtube video to open the youtube page works, but not other links (I hope I've understood you correctly?).
As a general note to everyone, bugs can he reported in the
GE Help Forum, specifically in
this thread. You'll need to register with the forum to be able to post.
PS: Frank Taylor mentions this problem
here under "Placemarks".