I do that on several of my sites. Most often, the links under the header are created to display your pages and in your admin area, you usually have a way to exclude some pages you don't want to show.
On this site all the links except for the home link are to pages and are automatically added when I create a page...I can also exclude pages in the admin area.
I use the same theme here, but all the links, except for home are to other sites. I just hardcoded those into the theme following a similiar technique used for the home link (which is also hardcoded in).
So, just look at the theme code where the menu bar is located (probably the header file) and add any external links you want.
There may be a theme that allows you to do this as well, but if so, I'm just not aware of it.