Safari opens a new tab or page each time I click a hyperlink

As you've probably discovered, you can choose whether to open new windows in separate windows or tabs however, what you're frustrated with isn't a setting in your browser, unfortunately; It's in the code of the pages you're viewing. Web developer decide whether to code a hyperlink with a "target="_blank". If they would code it with a "target="_self" it would open in the window you're viewing. This is a bit of an over-simplification since not all sites accomplish this through HTML these days but regardless or the programming language and the actual command they're using, the effect is the same.

There are browsers that will allow you to override this and some even do it by default but the reasoning behind is the dealer's choice. I would guess that web developers, and the companies they're building the sites for approach it from an engagement standpoint. If you clicking a link opens a new tab or page and takes you there, it doesn't draw you completely away from their site so you are more likely to reengage with their site again... or some sort of annoyingly similar logic.

Sorry. Wish I had a better explanation. Unfortunately, you'll need to get a browser that lets you override those target commands. I know Brave, Firefox, Chrome, and I think Edge can do it but don't quote me on any of them. I've grown complacent in my old age and don't keep 15 browsers loaded any more so things could have changed with any of those I've listed. Good luck!