Wordpress Menu is like an umbrella that houses Pages, Categories, Posts, Custom Links, etc on a website.
The menu is created to group the above mentioned at a particular section of the website like the Header, Footer, Sidebars, and sometimes in a Blog Post. 

To create a Menu,

• Log in onto your dashboard
• Scroll down to locate Appearance on the left panel
• Hover over on Appearance to reveal Menu
• Click on the Menu
• Automatically, Wordpress sometimes creates a Menu for you. But you may want to create your own menu to suit you. Should that happen, click on ‘create a new menu’ link.
• Enter the preferred name of the menu.
• Click on the ‘Create Menu’ to create the new menu
• Now on the left panel next to the main left panel, choose items (Pages, categories, Posts, Custom links, etc) and click ‘Add to Menu’  to successfully add the items.
• You may want to choose a location for the newly created menu if not, click on Save to save any changes.