It's quite simple!
To begin, simply click on Teaching then on Materials. Next, click + Add Materials. On the left, you will see Embed Link. Simply fill out the fields and hit Add Link at the bottom.
If you enable Should This Link Be Embedded?, the website will display on the same page instead of in a new tab, if the website chosen allows embedding.
Note: If you do not see the option to embed the link, click anywhere on the popup outside of the URL text field after entering the URL.