In Joomla!, a Menu is a set of menu items used for website navigation. Each menu item defines an URL to a page on your site, and holds settings that control the contents (articles, category(ies) lists, tagged items, etc) and style (module(s), layout) of that page.
Creating menus is rather simple. From the Admin Menu, in the backend of your Joomla! site, you choose: Menus → Menu Manager → Add New Menu. After that you can start adding new menu items to the menu.
Any website can have more than 1 menu.
A Menu isn't automatically shown on the site's front-end. You need to create a Menu Module using the Module Manager and instruct the module which Menu to show. Subsequently, you can select where the module should appear on the site, by choosing one of the available Module Positions of the active Template.
There is even more control on when the menu should appear, by adjusting the settings of the menu module. So, you can set it to appear in all or just a few pages of your choice (assigning the module on menu items), or make it visible to all, or only specific user-groups (e.g. registered users).
It is also possible to create Split menus.
A Menu that isn't shown by any module is commonly called a hidden menu. Hidden menus can be used to create URLs that are not visible on any page, within menus. For example, this can be very useful, if we want to create a single article page, with a custom URL, and specific content settings (layout, modules), that could be accessible through another page (article, blog category, module, etc), but we don't want to display a Menu Item for it, anywhere on our Menus.