WordPress menus allow you to navigate your website better.
You can have more than one menu and those menus can be placed in different locations. WordPress makes all of this customizable.
The menu locations are dictated by your theme and are beyond the scope of this discussion, but you can find the locations that are setup by your theme on the 'Manage Locations' tab on the Appearance->Menus page.
You will need to create menus to go in the different locations. The current WordPress version or your theme may already create some menus for you, but you can create other menus if you want, or edit the default menus.
Your menu is a collection of links to posts, pages, external links, and other things that your theme author (or plugin author) decides should be a menu item.
Each menu item will have options such as links, labels, etc. Your theme and other plugins may add even more options, so I won't go over all of them here. My suggestion is to try the options out so that you understand how they work.
You can drag and drop the menu options so that they show in your preferred order.
You can create sub menus by dragging the item a little to the right and underneath the parent item. If your theme supports sub-menus, indenting the item will show as a submenu to the parent item on the public side of your website.
I add Widgets (found at Appearance -> Widgets) to this discussion only because WordPress Widgets give us another location to put a custom menu. If you want a menu in a sidebar or any other widget location setup by your theme, you may do so. Then the links will be available to several, if not all, pages on your site.