WordPress 3.0 added new feature called wp_nav_menu(). Using this feature you can create wordpress menu. So you can add external website links also categories to the wordpress menu’s.

Activate WordPress 3.0 Menu Support

To add wordpress 3.0 menu to your existing wordpress theme add following lines of code inside your themes function.php file

if (function_exists('add_theme_support')) {
    add_theme_support('menus');
}

Display Custom Menu

To display menu in your theme add following lines of code inside your themes php file at the location where you want to display menu.

<?php wp_nav_menu( array('menu' => 'Header Menu' )); ?>

In above code the “Header Menu” is the name of the menu. You can display multiple menu’s on same page.

Source

WordPress Codex
templatic.com : WordPress 3.0 Menu Management