If you mean "once the link is clicked" to be when a user visits your DNN page with the IFrame, then it is most likely because the target https site has javascript which runs as soon as it is loaded, causing it to do so.

If you instead mean when a link INSIDE the IFrame is clicked, that is due to ithe target https site's links being written so that they break out of a frame when clicked.

Either way, if the target site is not under your control there is nothing you can do to change this behavior.

If the target site IS under your control, first make sure there's no javascript that would cause the breakout, and then go look at its links; you should not be using target="_top" nor javascript that would change the DOM's top.location.

If you are using fairly 'plain' links and still find that pages break out of your IFrame, you can try using target="_parent" in your links.  That will not cause links to break frames, and has solved some issues involving links and (fairly unrelated) javascript onclick events for me.

I hope this helped!

target="_parent" is something you would add to the markup of the links on the https site itself, to keep its own links from breaking out of the frame once clicked on, like: <a target="_parent" href="https://site.com" target="_parent">Link Text</a>

(It's not anything you can set in DotNetNuke.)

If you don't have control of the target site then there's not much you can do to keep it from breaking out of frames. =/