Type the URL in the drop box between the 'Hyperlink' and the 'Anchor button' in Muse's top menu bar.
OMG I can't believe I was so stupid haha.
You're a life saver though
Don't be too happy. There are still some bugs with it. When I create a menu item, it uses the very first URL I have entered, even if I enter additional URLs to change the menu item later. You may need to tweak the output HTML.