To prevent menu items from opening in new browser Window/Tab, you need to take the steps below.

New Window

1From WordPress left menu, go to Appearance > Menus.  


2On top right of that page there is an option called Screen Options. 

Same Window Screen Options
3Open the pane and check the Link Target option there. 

Same Window Link Target
4New option will be available on menu items.  

On each of menu items you will see new option added called: Open link in a new Window/Tab

Open New Window

5Uncheck that option.  

Simply uncheck that option and save the menu to prevent menu item from opening in a new browser Tab/Window

Uncheck the option

For more information about menu system in WordPress click here. For more detailed information about Artbees Mega Menu system which can contain Widgets inside drop down menu system click here.