How do I add links to blocks to a page on another domain?

Do you mean for the menu or for a completly new block?

If you mean the menu, then i suggest you install a module called imenu. It's a great module which looks exactly the same as your system module and you can place links to it anywhere. Just do a search for imenu and you'll find it.

If you want to do a seprate block then simply go to the blocks menu and create a new block by going to the bottom of the page and coding in either html, php or basic then press submit. Your new block is ready.

If you still can't work it out then please pm me and i'll be happy to help.

Thanks

And to add links to another site in the main menu see this thread Here