To prevent menu items from opening in new browser Window/Tab, you need to take the steps below.
On each of menu items you will see new option added called: Open link in a new Window/Tab
Simply uncheck that option and save the menu to prevent menu item from opening in a new browser Tab/Window
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.