The 'Account Manager' provides that function among other things. Go to the account manager and click the 'Prefs/Profile' button. If you have more than one pen name, you need to select the pen name for which the blog belongs.
There is a 'Blog' field in that form. Paste your blog's full URL into the blog field of the form and click 'Save changes'.
External blogs take precedence over the site's built in blogs, so if you have an external blog linked through the preferences, it will be linked to even if you have blog entries locally.