You change the title, the position of menu items, and add links to internal and external pages to your site's primary (navigation) menu. To access your navigation menu go to Admin Bar > Menus.
Here you can drag and drop the items in the order the menu items should appear. You can also take an item out of the menu by clicking the delete link next to the item.
You can create pages and link these items in here by either clicking on the Add new Link button (this is also true for external links) or when you create a new item (like a page from the Front page) by expanding the Advanced Options section and choosing to make a link inside the primary (or secondary) menu. By default it is set to not place it as an item inside the primary (navigation) menu.
You can also nest items under other items on the Menu page by dragging and dropping them under the main (parent) menu item. With most themes, the nested items will appear when the main item (parent menu item) is hovered over.