I'd expect this :
$('a').setAttribute('target','_blank');
.. to fail (silently - because jquery generally fails silently) because, if the content of the iFrame is from a different Domain, there are access issues with manipulating the page within the iFrame from the containing page.
That is : If your own page is from domain a (eg mysite.com), and the iframe is from domain b (eg someothersite.com), then web browser security behaviour is such that using javascript to manipulate the iFrame content will give an "Access is denied" error.
If you were to use non-jquery javascript you'll see the error. From the parent page, something likie this :
window.frames["iFrameName"].getElementsByTagName("a")[0].target="_blank"
you'll see the error.
Unfortunately I'm not sure what you can do about this. It's a deliberate thing to stop one website including another, and changing the content after loading so that it says something else.
One way around it would be to call a script on your server (ie same domain) and pass in a URL. The script gets the content of the page you were after and regurgitates it to your browser, so you'll have the content of your desired webpage but the address of it was within your site.. eg if it were php:
http://yourdomain.com/getURL.php?url=http:www.google.com
Watch out for issues with authentication there though