How To Create A Custom Menu
This is a very important step, else you wont see your custom menu!
It's simple, on the right bottom their should be a box looking like this:
Select the location (probably "Header") where you want to show your custom menu and save! And your done!
Now you can check if your custom menu is shown. You can come back to Appearance->Menus anytime, to customize your menu again.
If you have any questions, leave a comment!