Hi,
There is a round-a-bout way to do this. First, get the module id of the module you want to link to. To do this, hover over the settings link for the module and make note of the number after the "mid" parameter. Next, create a new page in your menu and set the url for the full url of the page containing the module with #moduleNNN at the end, where NNN is the module id. So, if the module id is 456 and the page url is http://www.some.url/page, then the url you will enter for this menu item is http://www.some.url/page#module456
Hope this helps,
Joe