How do I add a Page?

Hello.

I am building a website using WP.
I would like to create a page that actually links elsewhere…

As example, take this site (created with WP): http://www.my514.com – as you can see, all pages link to pages within the blog (site), however, the button FORUM links to my514.com/FORUM…

I would like to do the same (also link it to a forum on the same domain) but when I create a new page – all I can do is add content and not actually redirect it elsewhere.

How can it be done?

Thanks