Adding sidebar menu heading

I just started using wordpress yesterday so I could have somewhere to put my scanlations up for download, but in addition to overwriting my header (T_T) I’m having a little bit of trouble with customizing my sidebar. Specifically, I’d like to add a simple new menu that can include parenting, but the only new menu I know how to add doesn’t allow me to parent links (blogroll). If you look at This page’s “manga projects” section for an example, I’d like to be able to do something like that. Essentially, I don’t even really know how to make a new menu heading.

Sorry if it’s a little inconsiderate of me to post this here – I tried reading through the wordpress guide and I just couldn’t understand a bit of it, so I couldn’t find what I was looking for. =X