I have set a click target in the banner or zone invocation tag properties but it is not taking affect, why?

If you are using a flash banner:
Click targets are not so straight forward with flash banners. Flash objects do not accept HTML's standard target parameter as the click link and target is actually coded inside the flash file.
You should talk to the creator of the file and ask what method they used to create the click link inside the banner.
If they used the industry standard 'clickTAG' variable, then they might have hardcoded the click target value and OpenX is not able to change it. Ask them to use the 'clickTARGET' variable inside flash and OpenX will be able to assign a click target using the banner properties.
If they used a hard-coded link, they might have not defined a click target. In such a case OpenX can't edit the target. If they did place a target, OpenX is able to edit the target when using a Local Webserver banner using the main banner properties 'target' value (not the invocation tag target property).

For other banners:
Perhaps you have browser settings which are over-riding the target settings.
Also do note that an invocation tag can set a target as well as the banner's properties. A tag's target will be used ahead of the banner's.
An Image invocation tag doesn't ability of using the target set in the banner properties - it should be set in the invocation tag options.