At beginning, please access Appearance / Menus.
Create new Menu
If you have no any menu, just click create a new menu link, input menu name in Menu Name field and click Save Menu
Add Items to Menu
Before adding items to a menu, you have to select the menu you want to edit in Select a menu to edit: field. After that, look on the left hand side, you will see the group of types for items. Just choose the type of item you want to add and pick the item you want to add and click Add to Menu button.
Click Save Menu button at the end to apply.
Active Mega Option for Menu Items
Expand your menu item settings by clicking the down triangle icon at the end of your menu item box. You will see and need to check the Enable Mega Menu setting.
Assign Menu to Locations
Choose the Manage Locations tab (next to Edit Menus tab), you will see all menu location of the theme. Select the menu you want to display for each location on Assigned Menu column. Click Save Changes to apply.