WordPress isn’t built with your idea in mind. That being said, add_menu_page on the WordPress Codex shows how to create an admin top-level menu page, i.e., a menu item within the left column of the admin section. add_submenu_page shows how to create submenus of top-level menu items.
You could create a plugin, and add menu/submenu items. Creating a plugin, in and of itself, is exceedingly simple:
<?php
// Plugin Name: My Cool Plugin
Upload that to your wp-content/plugins/your-plugin-directory
directory, that’s all it takes. It’s a little more involved to create the menu/submenu items, but those links are a good place to start. But, there’s no built-in functionality that I’m aware of that will allow you to easily do what you want. A ready-made plugin might exist, but I haven’t searched.
BTW, custom post types wouldn’t figure into the equation, those are for front-end only.
Edit
WP Help is a plugin that might do the trick.