If you are referring how to add a menu in your header (where is says “add your own menu”, all you have to do is go to Appearance > Menus from you Dashboard.
On the left you will see a sidebar with Pages, Categories,and Custom Links.
Assuming you’ve created some pages, you can select which pages you want to add to the menu from the list in the Pages section. Or you can add categories from the Categories panel if you created your own categories in Posts > Categories. Also, you can add a link to say, an external site but writing the url in the Links panel and adding that to your menu.
It’s pretty intuitive once you play around with it for a few minutes.