To do this you can add another condition to your if which excludes the a element inside the #myid element. Try this:

$(document).click(function(e) {
  var $target = $(e.target);
  if ($target.closest("#myid").length > 0 && $target.is(':not(a)')) {
    return false;
  }
  alert('clicked');
});

#myid {
  border: 1px solid;
}

<script src="https://ajax.googleapis.com/ajax/libs/jquery/2.1.1/jquery.min.js"></script>
<div>
  <div id="myid">
    something <br>
    <a target="_blank" href="#">link</a>
    <p>paragraph</p>
  </div>
</div>

I've added another check as follows:

 if( $(e.target).closest("#myid").length > 0 && $(e.target).attr("id") !=="linkID")

Add id attribute to your link as:

<a target="_blank" id="linkID" href="#">link</a>

Please see the fiddle. Its working fine

$(document).click(function(e){
  if( $(e.target).closest("#myid").length > 0 && $(e.target).attr("id") !=="linkID") {
    return false;
  }
  alert('clicked');
});

#myid{
  border: 1px solid;
}

<script src="https://ajax.googleapis.com/ajax/libs/jquery/2.1.1/jquery.min.js"></script>
<div>
  <div id="myid">
    something <br>
    <a target="_blank" id="linkID" href="#">link</a>
    <p>paragraph</p>
  </div>
</div>

You need to get the current target that you clicked. In this case you need to distinguish from the current target (which will be the anchor) before anything else.

You can tell which element you clicked using the .is() jQuery method. Example:

$(document).click(function(e) {
  if($(e.target).is("a")){
    alert("You clicked the anchor");
    e.stopPropagation();
    return;
  }

  if ($(e.target).closest("#myid").length > 0) {
    return false;
  }

  alert('clicked');
});

I added a condition before proceeding to check if the clicked element is an anchor element. Better add something to select it uniquely, like a class or an Id.

I use the .is() method which returns true or false based on the condition you pass for interrogating a particular DOM element. In this case I check if the element is an anchor tag. Note, I use .stopPropagation() method to prevent the event from bubbling up, this is not needed in this particular case, but it is a good practice in such situations, as you might end up with unexpected behavior. Lastly, don't forget to return in order to avoid executing the code that follows.

If you don't need to keep the anchor's default behavior, i.e. don't want to navigate to the location designated in the href attribute, just prevent that using the event.preventDefault() method or returning false.

Check on fiddle here.