To create a basic menu, you follow steps below:
Step 1: You can manage main menu by going to Appearance--> Menus.
Step 2: Then you click Create Menu and type menu name.
Step 3: You can generate menu items from left side and drag the generated menu at the right side to sort it. After that, next task is to assign menu to theme locations.
Step 4: Click Save
If you are still confused, please go to this guide: WordPress Menu User Guide
To set up mega menu items, you follow guidelines below: