Admin Dashboard -> Appearance -> Menus
If the theme is WP 3.0 ready, you will have an option to add a custom link (ie external link) on the left side, and you can drag and drop it into the order you want.
Justin Tadlock wrote an awesome post about 3.0 menus – http://justintadlock.com/archives/2010/06/01/goodbye-headaches-hello-menus
If your theme isn’t 3.0 ready, I believe you can still use the custom menu widget.