To create a custom menu, go to Appearance → Menus in your dashboard.
To create a new menu, click the create a new menu link, then just type in a Menu Name (to help you remember what it is), and click the Create Menu button.
After you create your first menu, you will notice that two new options appear to control the following:
Auto add pages – If checked, new pages will be added automatically when you create them.
Theme locations – Allows you to decide where you would like your custom menu to appear in your theme. By default, your menu will show up in the main navigation area of your theme.
Adding pages to your menu is as simple as checking the proper boxes for the pages you want and then clicking Add to Menu. If you have a lot of pages, you can choose to view your most recent pages, or search for a page based on its name in the search tab. Only published pages will show up in the list for insertion into your custom menu.
Managing Your Menus
If you have created more than one menu, you can manage them by clicking on the Manage Locations tab at the top of the Menus page.
On the Manage Locations screen, you will see what locations are available for displaying menus in your theme, and can assign a menu to each location by selecting it from the drop-down. You are also given options to Edit (which launches the selected menu in the Edit Menu screen) or Use new menu instead, which will allow you to create a new menu for use in that location.