I have some links that I want to open in another window so that people don't leave my site.

Thank you,
Z

Please see the FAQ entry How do I create a link that opens a new window?

If you are using XHTML check out xhtml target= on one way to still be compliant

If you're going to use the TARGET attribute, why not just use a Transitional doctype declaration, rather than using the JavaScript subterfuge? If you're going to use a Strict doctype declaration, then just leave the decision to open a new window with the user, where it should be.

I have just used that script before just to at least validate the code

The following appears to work and validate for XHTML 1.0 Strict:
<p><a href="baktest.htm" onclick="window.open('baktest.htm');return false;">baktest</a></p>

Only, then you rely on javascript, which is not always desirable.

It has nothing to do with XHTML. It has to do with Strict or Transitional.

Actually, the links work fine without JavaScript. The main problem is that those with JavaScript enabled don't get to choose whether to open the links in a new window.

Oops, I overlooked the href. Sorry.