At Admin Panel -> Settings -> Switches, in the URLs section, you have an option to open links in a frameset. If you turn this on, instead of going to the destination site when clicking a link in your directory people will go to a frameset which keeps them on your site while the destination site is shown in the lower frame. This can be useful for something like an online games directory where you want to present the external site as being a part of your site, allowing people to easily navigate back to the rest of your site. Of course, using a frameset on a regular links directory will tend to annoy people so this is for specialized cases.

When the switch is on, you can edit the frameset templates at Admin Panel -> Themes -> Manage Templates. Edit the 'outgoing links top frame' and 'outgoing links frameset' -- customize the top frame to provide an appropriately themed link back to your site (be sure to use target="top" to link to remove the frameset), and customize the frameset template to change the height of the frame.