If you have a categories area in your main menu, then clicking on that category will take you to a page that displays all the posts in that category. You have to of course make sure your post has a category selected for it to be displayed there.

There's no need to change the theme :)

In the menu bar - as far as I know - nothing shows up automatically.

When you click on a menu item that links to the category page, the category page will show all the posts that are linked to that category.

The menu itself needs to be updated. The good thing of that is that you can decide which posts you want to highlight in your menu.
The "bad" side is that you need to do this every time.

I tend to use my menu only for the things that I want to highlight to people in that season or time. I update my menu only a few times a year.

My menu links to categories or certain articles that I have written as well as pages.

Most of my content goes through the blogroll. On my front page I have highlighted posts displayed. It is called a featured post and this tends to be a widget of themes.

Steven

It won't show up in the main menu under the category unless you make it a menu item. Clicking on the category in the menu will open the page with all posts of that category. If you want it to show up as a menu item, go into your editor, click on "appearence" then "menus". There will be a box with your posts. check the one you want to add, then click "add to menu". Then you can drag that post to wherever you want it to show up in the menu.

Is your theme meant to add posts automatically under categories in your menu bar or did you add previous ones manually?