You can only close a window with JavaScript that has been opened with JavaScript. Since you went with an HTML method, this won't work.
However, if you were to re-code so that JavaScript was opening the window instead...
<a href="myurl" onclick="window.open('myurl'); return false;">mylink</a>
Then you could close the resulting window with JavaScript.
try this
<a href="page.jsp" target="_blank"
onclick="var w=window.open(this.href,this.target); return w?false:true">pop a new window</a>
or
<a href="page.jsp" target="mywin"
onclick="var w=window.open(this.href,this.target); return w?false:true">pop a new window</a>
the later you can get the handle:
var w = window.open('','mywin');
if (!w.closed) w.close()