This is where you can setup a menu for your site that will be used on every page. The image below is where you will create the menu.
This image shows the layout of a the Menu feature for a newly created WordPress.
Note: The image below is the end result of creating a new menu and arranging the items (these can be pages and categories that have been created or add a link).
To Create a new menu select the “create a new menu” as marked in red in the image below.
After you have selected “create a new menu” or Create Menu button, the image below will be displayed. Here you can add items to be displayed as links to different pages.
You can select Pages, Links, or Categories to add to a menu. The four images below will show a view to add a item to a menu and what editing the item will look like.
The first image shows the view adding an item, the second shows editing a Page, the third is from for editing a Link, and the last is for editing a Category item.
Note: In the first image all drop downs are shown, in WordPress only one is shown at a time. In the Third image the item is called “Custom” instead of “Link”. In the second, third, and last image shown above they can all be removed is not needed.
To add an item select Pages, Links, Categories.
In Pages you can select one (marked in black in the image to the right) or multiple (marked in red in the image to the right) pages from all the Pages created, most recent, or search for a page; then select Add to Menu button (Marked in black and red in the image to the right) to add to menu.
Note: These are pages that you created in Add New in Pages.
In Links you can add a URL/web address and a Label text (marked in green in the image to the right); then select Add to Menu button (Marked in green in image to the right) to add to menu.
In Categories you can select one or multiple categories from all the Categories created, most recent, or search for a page; then select Add to Menu button (Marked in blue in the image to the right) to add to menu.
In all the items you can edit the Navigation Label/Label Text (text shown in menu), Title Attribute, and description. The Link item is the only item you can edit the URL or location the item travels to as seen in the second image.
All the items can be removed by selecting Remove at the bottom of each item. The image below shows what to look for.
After you have added or remove the necessary items now you can arrange or structure them to display the desired layout. The arrows in the image below show items that have been indent, this makes the indented item a drop down item. To indent the item (select item then drag and drop).
These two image below will display what the menu will show in a browser.
If you create a different menu you can go to Manage Locations to set the primary Navigation.
If you want to delete a menu select Delete Menu as shown in the image below.
Note: Select Save Menu ever time you are editing the Menu.
For more information about WordPress Menus click here http://codex.wordpress.org/Appearance_Menus_Screen.