Custom PHP Pages / Menu

Hello everyone,
I'm new to Drupal which decided to invest in this project in order to build an business intranet in my company. The race was long and painful but I managed the competition of Joomla and SharePoint. One of the things that made me decide was the LDAP authentication which works perfectly and was very clear to configure.

Said that however, I need some little explanation: I would first create a menu for the end user to relaunch a site / external applications. But below the link I'd like to put some PHP code to do something before you raise them. Today I do this with a normal PHP page ... but now in Drupal I don't know. I create a menu and then? what link? I connect one of my PHP page? or can I use one page and change the code below (just to add some user controls .... user name or host name)?

Thanks in advance for your support.

Andrea