The menu is automatically set up with a link to your site's front page. You will probably want to add more items to this. Clicking "Add item" takes you to a screen where you can choose a page to add. Select the category of the page you want to add, then choose the page underneath and enter some text you wish to show as the link.
The "Front page" category will automatically make a link to the front page. "Content", "Blogs", "News", "Guestbook" and "Gallery" will link to those sections (if you choose the blank option in Gallery, it will link to a list of all galleries). Choosing "RSS Feed" will allow you to enter the URL of an external feed. "Files listing" autogenerates a list of everything in your files/ folder for visitors to download; with "External link", you can link to a page on another site; "Static text" allows you to put some text in your menu that is not a link; and "Separator" will leave a blank area in the menu.
For each link, you can choose whether you wish to have it display in a new window or not.
Once you have added items, you can click the "Edit" link to change any of the settings you previously chose. You can use the "Move up" and "Move down" links to reorder items, and click "Delete" to remove any existing items.
At the bottom of the page is a link to the "Submenu" page. It works in much the same way, with options to add a new item or an entirely new submenu.
When you add an item to a submenu, it is also added to the "Shown on" list of pages - where the submenu is shown. You can click on the "Edit" link next to these to edit any of the pages it is currently shown on, or you can click "Add item" to display it on an extra page.