Menus are a UI element within a Page that contain important links to other sections and Pages of a Site. Menus are typically located at the top of each Page in a Header, and/or at the bottom in the Footer.
It's best to output menus in a Header file, which you can then included in a Template file. Doing this means you apply the same Menu consistently across your Pages and only need to make edits in one place later. For more information on using Templates, Headers and Footers, check out: Templates - Introduction.
Where can you find Menus?
While viewing your Site Admin, use the left-hand menu to click "Modules" and expand the sub-menu. Next click on "Menu Builder", here, you can see a list of existing Menus on your site.