There are multiple ways you can do this but I am not sure which one is the best practice. The first approach is you can append an iFrame in the dialog container on the fly with your given link:
$("#dialog").append($("<iframe />").attr("src", "your link")).dialog({dialogoptions});
Another would be to load the content of your external link into the dialog container using ajax.
$("#dialog").load("yourajaxhandleraddress.htm").dialog({dialogoptions});
Both works fine but depends on the external content.