It's not a theme setting but a setting in the software itself.
Unfortunately, one has to edit system files.
Find the ./Sources/Subs.php and browse down to line 3892:
$buttons = array(
'home' => array(
'title' => $txt['home'],
'href' => $scripturl,
'show' => true,
'sub_buttons' => array(
),
'is_last' => $context['right_to_left'],
),
This part desides where the link points:
'href' => $scripturl,
Change it to:
'href' => '
http://mysite.com',
.. or whatever your link is.
You can also make sub menu links, scroll a bit down in the file to
'admin' => array(
'title' => $txt['adm....
There you can see the section
'sub_buttons' => array(
'featuresetting.....
That's the way sub links are build.