Go to skin1/customer/help/menu.tpl
This is what you see as I see your using light and lucid:
ORIGINAL
{*
$Id: menu.tpl,v 1.5 2009/03/18 10:45:28 joy Exp $
vim: set ts=2 sw=2 sts=2 et:
*}
{capture name=menu}
<ul>
<li><a href="help.php?section=contactus&mode=update"> {$lng.lbl_contact_us}</a></li>
{foreach from=$pages_menu item=p}
{if $p.show_in_menu eq 'Y'}
<li><a href="pages.php?pageid={$p.pageid}">{$p.title|amp| escape}</a></li>
{/if}
{/foreach}
</ul>
{/capture}
{include file="customer/menu_dialog.tpl" title=$lng.lbl_help content=$smarty.capture.menu link_href="help.php" additional_class="menu-help"}
ORIGINAL END
Just add what I have added in red below (works a treat)
MODIFIED
{*
$Id: menu.tpl,v 1.5 2009/03/18 10:45:28 joy Exp $
vim: set ts=2 sw=2 sts=2 et:
*}
{capture name=menu}
<ul>
<li><a href="help.php?section=contactus&mode=update"> {$lng.lbl_contact_us}</a></li>
{foreach from=$pages_menu item=p}
{if $p.show_in_menu eq 'Y'}
<li><a href="pages.php?pageid={$p.pageid}">{$p.title|amp| escape}</a></li>
{/if}
{/foreach}
<li><a href="http://www.yourlink.com">My Link</a></li>
</ul>
{/capture}
{include file="customer/menu_dialog.tpl" title=$lng.lbl_help content=$smarty.capture.menu link_href="help.php" additional_class="menu-help"}
END MODIFIED
So if you want another link just repeat added code below>
<li><a href="http://www.yourlink2.com">My Link 2</a></li>
And so on, hope this helps.