With the menu item in your left side panel you can add a menu to your page. This will only work if you have more pages in the same project. To add more pages click on the "Pages" icon in your left side panel:
Click on the icon consisting of three horizontal lines.
Once in the menu items you can choose between a link, a page and a section. With the Link option you can choose a URL to add to the menu, and you can choose how this link will be opened for the user. With the Page option you can choose any page from within your current project. With the Sections option you can choose any section from the current page.
Don't forget to give the menu item a name before creating it.
Note: The menu will mostly show up in the header if you have added a header. If you don't have a header on your page or haven't added the menu item yet. The menu will not show up. In the editor the menu looks like this: