The page menus are located under appearance and in the menus tab. To get there, hover over Appearance and click menus.
Once there select Main Menu or another Menu to work on and hit the select button. Do not edit the global menus.
Depending on what site you are working on the Main Menu may be located on the side or the top of the page.
To add a page to the menu, select a page under the page tab and hit add to menu. To change the order you can click and drag the menu item up or down. To make it a sub item you can click and drag to the right to create an indent under the parent item.
To add a custom link, enter in the Url and the display text and hit add to menu.
Once you are done hit the blue save menu button.