How do you add external links to other websites

I've seen some other sites that link to other sites with their link still open with their header. Here's what it looks like. http://ift.tt/1H0yEOx

Site no.1 is on.net.mk and site no.2 is drizzymon.com. The link is still from on.net.mk but it opens up the drizzymon.com site.

I don't even know what is this thing called. Maybe if I knew the name I could do a little research and do it myself via php or a plugin.

If you could recommend a plugin it would be cool. If not at least what is that "external link" called?