If you’re an administrator, you should be able to navigate to the Application Links page as per the instructions, although the layout of Jira has changed since the screenshot was taken. Once you’re in the application links page, you should see a text field with a “Create new link” button. Enter a name in the text field and click the button. In the dialog that appears, enter a URL and then click the “Continue” button to see the dialog showing the form in the screenshot as per the instructions.
I’ve submitted an internal issue to have this page fixed/reviewed.