It's not straightforward.
One solution is to create a page in your website, say "external-link-1" (or something). Then edit your .htaccess file and add a rule to forward the corresponding address to the external link.
It's ugly, but it gets your link into the menu.
I have added a similar link using another method, which is to hard-code the link in the menu's output. Sorry, I don't have the details to hand about what files to change, but if you really want to go about it this way, let me know.
An infinitely better solution would be an update to compactcms to allow external links

Chris.