If you are using the jrNingja or jrSlate, then you can do it how derrickhand300 outlined above:
derrickhand300:
click that little gear icon in the header...click "add menu item"....name it what you want- then in the url box below the name add the url...if you have already created the page somehow you can use the /page name in this box without including the main url...
Otherwise if you are starting with a blank page- name the url under the name whatever you want just be sure and use _ or _ in spaces...
But I'm guessing your not using either of those skins. If your not using either of those skins then you can do it via a template alteration from:
ACP -> SKINS -> YOUR SKIN -> TEMPLATES -> header_menu_desktop.tpl -> MODIFY
You will see code like this:
{* Add in Cart link if jrFoxyCart module is installed *}
{if jrCore_module_is_active('jrFoxyCart') && strlen($_conf.jrFoxyCart_api_key) > 0}
<li>
<a href="{$_conf.jrFoxyCart_store_domain}/cart?cart=view">{jrCore_image image="cart24.png" width="24" height="24" alt="cart"}</a>
<span id="fc_minicart"><span id="fc_quantity"></span></span>
</li>
{/if}
That LI element is the menu item. The surrounding {} is an IF conditional. You dont need the conditional, just put
<li>
<a href="{$jamroom_url}/wherever">NEW LINK HERE</a>
</li>