WP Navigation Menu not showing in admin

I’m trying to add a menu to my site using the WP3 system, but it isn’t showing a menu in my admin.

It has removed the message that says:
The current theme does not natively support menus, but you can use the “Custom Menu” widget to add any menus you create here to the theme’s sidebar.

However, no menu shows up in Appearance>>Menus.

This is the code I have in my functions.php file:

function register_my_menus() {
register_nav_menus(
array(
'header-menu' => __( 'Header Menu' )
)
);
}

add_action( 'init', 'register_my_menus' );

It is showing a menu in my header, at least there is a link there that says ‘About’, so I’m hoping that’s the menu.

http://www.horroruk.com

Thanks