Hello there.
Please have a look at this small guide on how to create menu items https://codex.ww.wp.xz.cn/WordPress_Menu_User_Guide and let me know if you are still having trouble.
Thank you for your response. Unfortunately I still need help. I was able to get the Home there, no problem, but when I go to add the categories section it removes the home and lists all of my categories instead of adding a heading of categories with the drop down of all of them. Also, on example of the Olsen-light it has the four headings but when I go into mine it says it only supports two. Am I missing something? Thank you for all of your assistance.
Try checking out this video https://www.youtube.com/watch?v=4sazspZowks and follow the instructions to create your menu. Set it as your theme’s Main Menu from the theme locations and add your pages and categories to it. That should do the trick.