Setting up the menu
To set up your menu visit Appearance > Menus.
Enter a name for your new menu in the Menu Name box and then click the 'Create Menu' button.
Add items to your menu by selecting the Pages (or Categories) that you want to add by clicking the checkbox next to each Page or Categories title. Click the 'Add to Menu' button located at the bottom of this pane to add your selection(s) to the menu that you created in the previous step. When finished, be sure to click the 'Save Menu' button.
You can also add a Custom menu item, by entering the link and item title in the Custom Links box.
Reposition items by clicking and dragging them into the order you desire.
To make one menu item a subordinate of another, you need to position the item underneath the other and then drag it slightly to the right. Shown below with "Contact" a subordinate of "About".
Be sure to click "Save Menu" to make sure the changes have been saved.
Certain themes will allow you to pick the location of the menu. When applicable, select the location from the dropdown menu found in the "Theme Locations" box and click "Save".
For more information on menus, please visit the Wordpress Codex Menu User Guide