Most sites have external links.
There are legal ways and illegal ways of executing links on your site. The URL in the address window of your visitors' browser should show the new site, not your site. Read The Dilemma of Providing Valuable Links for more information on how to set up a link to another Web that opens a new browser window. This is similar to mentioning a company name in a book. In other words, your site's URL remains in the address block while housing an externally linked site.