it shows the home link cause you don’t have anything set yet…
go to your functions.php and add this code
add_theme_support( 'menus' );
if ( function_exists( 'register_nav_menus' ) ) {
register_nav_menus(
array(
'header_menu' => 'Header Menu'
)
);
}
endif;
Go to Apparence and then get into Menu option… Create a menu set the pages/links/categories or whatever you want on it. Make sure you set the menu you just created in the dropdown list you have on top left in that panel. That should be enough to call the menu you want where you set the code you have.