Enabling theme options

So I am taking a crack at theme development; I am wondering how to communicate to wordpress the “options” I am including in my theme. For instance, the twenty ten themes have the options: “Options: Widgets | Menus | Theme Options | Background | Header” listed when you view the theme in the themes page in WP backend. I want the user to be able to define custom lists like in twentyten. But how do I let wordpress know to include the custom menu page in the backend?

Thanks
A