This depends on the theme. Lately I’m using Weaver II which is a great theme. (Not weaver 2.2 which is good but older. Weaver II is only available at WeaverTheme.com.) But other themes are probably similar, so long as they have “widgets.”
I am a bit confused about terms myself. But “menu” seems to refer to navigation links across the top of the page. By default in Weaver II, such a “menu” bar may automatically include links to all “pages”. Or you can use a “custom menu bar” to specify specific pages.
(Do not select “accesssibility” option in admin panel. This turns off drag-and-drop.)
For making navigation links in a sidebar, look for “widgets.” Drag-and-drop “page” widget to automatically make active links for internal pages, or “post” widget for posts. Later you can learn how to adjust these by poking around with their “configure” buttons.
For offsite links, use a “text” widget. Then you input any hand-coded links. Such as, <a href="http://anysite.com/anypage.htm">Anywhere Link</a><br /> then more links, etc.
