Opening linked document in a new window?

I’ve tried control-click, but no option for “open link” shows up. However, “Open link” does show up for links I have entered manually. My JPG files are set up as automatic links when I enter the filename–not by manually linking to the file. Is there a difference? The manually set links are a lighter blue, the automatic links show up as a dark blue. Is this normal?

Thanks,
grebmar