Super confused about Menus

I want to add a page to a pull-down menu I have, but whenever I try to arrange my menu it tells me that I have a custom theme and that the menu option would be applied to my sidebar. And when I tried to post the page it came up as a new tab on my menu instead of a sub-page on a different tab.

Can anyone tell me how to get a page in a pull down menu when you have a custom theme???