Go to Setup > App Settings > App Designer

This feature allows you to add an additional menu item that links to a website. To add a new URL, click on Select an Item and choose Web Link from the drop down list.

The name of the menu item will default to Web Link, if you would like to change this, simply type the menu name you would like displayed in the app. Enter the URL, then click on Save. 

Once saved, you can also move it to another position on the list.