Cannot add menu bar

I am new to adding pages to WP. I managed to figure out how to create menus and add links and pages, but I can’t figure out how to add them all to the site. I have clicked save, but the menu items never show up on the menu bar. I am using the ten-twenty theme. The box that says theme locations says ” your theme supports 1 menu. Select which menu you would like to use. Under primary navigation I have chosen Main Menu, but the other menu items are also listed in the drop down box. What am I doing wrong?