Create one custom action, it must linked with one of the type available in look up (Internal URL, External URL and Report)
In this sample will show you the external link
Go To Administrator --->Objects--> Project-->Action
Create one Custom action and include type as external link include URL.
Step2 :
Go to --> Administrator--> Menu Manager-->Create a menu and select "Action" as a option.---> Link the Action created as part of Project objects.
Step3: Log and login you will have new link created in the Menu.
Comparision view with 12.1 and 13.3
In 12.1 you will find only Link and section
where as in 13. 3
you can find
Page link
Action link
Section
