You have to register menu’s in your theme’s functions.php unless you only wish to use them in widgetised areas.
As an example:-
<?php register_nav_menu('main', 'Main Navigation Menu'); ?>
Then you have to call that menu into your template file where you wish it to be displayed, so for example, in the header (header.php):-
<?php wp_nav_menu( array('main' => 'Main Navigation Menu' )); ?>
Then you can construct the menu in the WordPress back office under ‘Appearance’ > ‘ Menu’s’ including necessary pages and categories as you wish.
You can set the menu to auto include top level pages as they are created as well.