Creating custom menu with custom themes

Directly from the codex:

Navigation Menu is a theme feature introduced with Version 3.0. WordPress includes an easy to use mechanism for introducing customised navigation menus into a theme. In order to incorporate menu support into your theme, you need to add a few code segments to your theme files.

You should familiarize yourself with how to add those to a theme.
You will primarily need register_nav_menus and wp_nav_menu.