Hi Marcel,
What are you attaching the hyperlink to? Button, Hotspot, regular Text?
See the attached image for the hyperlink settings, you might be doing it differently.
Also, where are you testing this? In Preview, links may be blocked, or always forced into a new window, so you might need to publish the lesson (and possibly host it) to get it to behave properly.
Lastly, what do you want it to do? Replace the current window? Create a popup?
If your situation is more complicated (dynamic link generated via actions?), maybe email us a copy of your lesson and let us know what page to look at (or create a simple case) and we can take a look. We'll post back here with our findings once we have a solution.