includes>templates>your template>common>tpl_header.php

find this code.

<li><?php echo '<a href="' . HTTP_SERVER . DIR_WS_CATALOG . '">'; ?><?php echo HEADER_TITLE_CATALOG; ?></a></li>

This is the code that generates your Home and links it to index.php

<li><?php echo '<a href="' . HTTP_SERVER . DIR_WS_CATALOG . '">'; ?><?php echo HEADER_TITLE_CATALOG; ?></a></li>

The red code can be removed and the external link can be placed there. You should be warned that if this link is to an external site your shoppers will get a broken security warning while they are using ssl links within your site.