Ok, this is My Script in its entirity.

HTML Code:
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1" />
<title>Untitled Document</title>
<script>
function gotoit(o){
if(confirm("Are you sure?")){
	o.href="http://google.com";
	o.target = "blank";
	}
}

</script>
</head>

<body>
<li><a href="javascript:;" title="blog" target="" onclick="gotoit(this);">Blog</a></li>

</body>
</html>
When I click on the blog link, the image here is what I get... blog1.jpg and what I then do is click on cancle and this is what I am left with blog2.jpg so I refresh the page after clicking cancle and then answer OK to the question and I get taken to the page I set which is google.com blog3.jpg

This has been tested in Chrome, Firefox and Opera. Each browser did exactly as predicted so you must be doing something wrong, I suggest that you review your code or have your system swerpt for malware.

If you are using MSIE then try a different browser then see if you have any difference in the way the script works.