When you start creating your ad, the first box you fill out is the destination field. This can either be a Facebook page, or an external link. Just paste the link to your website there.

Not sure where it states that you can't link outside of Facebook. There is an option to use a non FB url on the first page you get take to when you first start to create your ad.

If Facebook restricted that then they would lose a ton of money!

I dont think its possible to redirect fb page to another domain , still you might study fbml apis that might give you some documentation about this problem. But as per my knowledge its not possible to do it.

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