New Page Problem

Hey,
I’m using wordpress 2.7.1 and I want to add a new page that would “links_to” a website other then my own. but i want that link in the same spot that home, about, and all that is in. the problem in i have linked it to the page that i want but now i cant find away to make it go there. now in my other wordpress site i have to link to then at the bottom it says page links to then you put in the site. my new site does not have that option what do it do?

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