I have some content that comes from amazon.com in iframe but the links when clicked opens in same window. I dont want my visitors to leave my site. So please guide me how can I make all link inside iframe open in new window.

Ok here is an example of it in http://www.futonsforsale.co.cc/?p=8
Below there is a Customer reviews segment in a iframe.

Thanks in advance.

It's an iframe... You don't have control over where the links go.