Setting up a new main menu button using a custom URL redirects to that URL instead of opening it in the CRM interface.
A workaround to this issue with be to create an ASP page and include the URL in this.
Instead of using a custom url as the source for the main menu button, the user would link to this ASP page by using the custom file option when creating this button.
This issue has been resolved in patch 7.2e.
This is only an issue with 7.2.
Version 7.1 works as expected.