The site menu can be different on each site in its location, but for all sites it is the main menu bar where links to your pages go. You can change this menu in the Yourdomain > Site Menu area.
(Click here to see a video on how to Edit the site menu)
In this answer we will discuss:
on the support site here is the site menu and a navigation menu.(click here to see how to add and edit a navigation frame. Video here)
see screenshot:

When you are in the "Site menu" area you can add and delete menu items and it does not delete any pages.

To add a new Menu Item fill in the "Menu Item Label" field. If you are linking to an alias (which is recommended) then start by clicking the drop down for "link to" and select the alias you wish to link to and it will automatically fill in the "Menu Item Label".
You can choose if this is a main menu item or sub menu item with the "parent" drop down. If it is a main menu item leave it at "top level" if not then choose which item it will be a sub-menu of.
In the "place after" drop down you can choose the placement of your new menu item.
To delete a menu item check the "delete" check box next to the menu item and then click the "delete" button beneath it.
To make a Categorized Sub-Menu, you will first need to determine the structure you wish to use for your items. For example if you sell Jewelry, you may want to make a Header called "Gold Rings", and then have links to your individual gold rings. If you sell a larger number of Items, you may want to make a Header more broad. For example your header may say "Gold Jewelry" and the links under it can be links to categories to your Gold jewelry.
Now you say, "What is a Header?" That is a good question! :)
The Bolded Items that are highlighted in red are "Sub-Menu Headers"

Here is How you create this menu.
Step 1. Create a Main Menu Item (in this example it is "Jewelry")
Step 2. Create Your Sub-Menu Headers (you can add them individually or all at the same time)
Step 3. Add links under your Headers to either pages, Categories, or Items.
Step 1 Image.

Step 2 Image

Step 3 Image

This process functions the SAME for navigation menu's and Site Menu's.
If you have any questions about this process please feel free to contact Support :)