The Addition of the Menu panel in the WordPress admin panel starting in WordPress version 3.0+ is a great addition to WordPress and really helps to solve quite a few problems.
Most newer themes have support for Menus via hooks into their templates. However, even templates that don’t have hooks can still use menus.
How Menus work is that they create area(s) that administrators can add & remove links to pages and custom urls. To create a Menu list, you simply enter your WordPress dashboard, and then under Appearances, find the “Menus” subsection.
Using Menus as widgets is powerful, but they’re much more powerful when you can also use them in dedicated areas that menus are great for in a WordPress theme. Most notably is the main navigation area usually somewhere within the header of a page.