I'm not clear on what you're after, Natalie.
If you link from one PPT to another, the links will open in the same window, but if you link to an external document of another type (PDF, etc), the link will necessarily open in a different window.
Things would change after you save the PPT to PDF. If, for example, you have links to PDFs and they're preserved in the PDF saved from the PPT, then what happens will depend on the Acrobat/Reader settings on the PC where the PDF is viewed.
In Reader, press Control + K to get the preferences dialog. Click "Documents" at the top of the list on the left.
On the right, "Open cross-document links in same window" controls whether links to other PDF files will open in same or new windows.