Just had a look at the plugin and it uses
a target="_new" which isn't valid HTML5 or 4 (or even XHTML for that matter). The
target attribute was deprecated in HTML4. In HTML5 this decision was reversed, and it is an official part of the spec again.
However as you can see, it's use is controversial at best. The only time I would use it, is if I were building a form that didn't save progress and needed to offer more help for a specific field, but even then, I'd probably just concise whatever I was pointing to as a tooltip so that the user wasn't timed out.
The cause for losing people on a forum when they click away from a site is usually down to the fact if they get taken away, then come back, their post progress has vanished, typing it out again is a chore and they don't bother. If it's still there, they will finish compiling that post. Your bounce rate won't be affected by a significant margin because of it.
However whether you should or shouldn't use it is irrelevant, your question was "How do I do it", that should be the question we are answering. (Support forums are renowned for not actually answering a question, but just ridiculing why they think it shouldn't be done. Which I don't agree with, unless it's a friendly warning towards the end.)