Thank you for your question. There is not a specific setting for opening a document file in a new tab or window. Selecting internal document links by default will open in the current browser window for view. The only setting in your admin console to allow for links to open in a new tab is for external links. This setting is Admin console->System->Settings->External Links.
If the document files you are selecting are internal links, several browsers will have the option to open the link in a new window or new tab. This can be achieved by setting a setting in your browser properties or by right clicking on the document link and selecting 'open in new window or tab' from the browser menu.
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That said, you can always right click the link and choose "Open link in new tab". Not perfect for when you want others to be able to do this, but works for you.
Also, if you are setting up links in Tiles, you can use the Related Links tile, which automatically opens links in a new tab. Or you can use the HTML tile, and write your HTML to open links in a new tab/window.