Yes, thats right create a page, the page is what is listed in the menu so in this case its just a placeholder so we can link somewhere else, but if you put a fully qualified url with protocol like http://www.google.com it will work. I just created a child page below the home page on the demo site:
http://demo.mojoportal.com/home.aspx
If you visit the demo you'll see a child page in the menu beneath home that is a liknk to google.
After you create a page that links to an external site, you can still get to the page settings from Administration Menu > Add Edit Pages
click the page name and click the gears to get to page settings.
People may change the demo site so I hoope you look at it soon.
Hope it helps,
Joe