where to modify get_comment_author_link()?

You would have to use the get_comment_author_link filter for this in the following manner.

add_filter( "get_comment_author_link", "wpse_63316_modifiy_comment_author_anchor" );
function wpse_63316_modifiy_comment_author_anchor( $author_link ){
    return str_replace( "<a", "<a target="_blank"", $author_link );
}