Unable to save ShapeSheet settings

Hi Guys,

I have a hyperlink embedded in a shape. In the ShapeSheet, under Hyperlinks, I changed its NewWindow attribute to True (=True). I save it (Ctrl + S), and Save the document as (Save as) a Web Page but the changes do not reflect. The hyperlink still opens up in the same page. What is it that I am doing wrong? 

Thanks in advance.

Nikhil