Edit the CI Job, select "Triggered by git commit to branch", then click on the "Setup Webhook" link to open the details pop-up screen.
In the pop-up details, copy the URL. This will be used in the GitLab settings page later.
Now, log into GitLab, go to Repository Settings > Webhooks page. In this page, paste the value from the previous step into the URL field, select "Push events", and click on "Add webhook" and your webhook is set!