First a couple of quesitons.
Are you trying to link to this "server" from an external site say...myspace.com or from your internal site on DNN?
If you are trying to link from an external site...There is a lot more you need to do in order to get it configured (unless your site is already viewable from the web).
If you are trying to access it from your internal server you would need to create the new page. Go to the bottom expand advanced and select from the four options...
If you would like this page to behave as a navigation link to another resource, you can specify the Link URL value here. Please note that this field is optional.
From your description you will want ot select one of the last two options, most likely the file option. Catch here is the file MUST be on the same server and in the root (or any subdirectory) of that portal.
Hopefully this helps a little. If not post more details and I will be more than glad to try to assist.