In this example, the template I use is wistie.
Open header.tpl in admin menu, or just open header.tpl through ftp or ssh, I like use SSH.
vi templates/wistie/header.tpl
find
<li {if $pagename eq "upcoming"}class="current"{/if}><a href="{$URL_upcoming}">{#PLIGG_Visual_Pligg_Queued#}</a></li>
insert the following code under it,
<li><a href="blog/">WPDig Blog</a></li>
and that’s all.