/app/code/core/Mage/Adminhtml/Block/Sales/Items/Column/Name.php

public function getProductUrl() {
  $productData = $this->getItem()->getData();
  $productId = $productData['product_id'];
  $productSource = Mage::getModel('catalog/product');
  $pdata = $productSource->load($productId)->getData();
  $pUrlPath = Mage::getUrl($pdata['url_path']);
  return $pUrlPath;
}

/app/design/adminhtml/default/default/template/sales/items/column/name.phtml

<h5 class="title">
  <a target="_blank" href="<?php echo rtrim(str_replace("index.php/","",$this->getProductUrl()),"/")?>">
     <?php echo $this->htmlEscape($_item->getName()) ?>
  </a>
</h5>