An extended (touch & hold) on a link will open a context menu. Then select open the link in a new tab. Is what works in Dolphin HD.
I've never used the default browser.
Just tried to do that, but, each time I try for a new tab Dolphin Mini loads and I get the tab in there. I haven't got a lot of good things to say about the stock browser. Probably because I use Dolphin on the phone and also the NT.