To add a new link, use the Add a new link button and choose the kind of link you wish to add. A number of options allow you to easily link to specific parts of your website, for example to specific galleries, to the cart, etc... Use External website / full URL to link to an external page, or a page you want to provide the full URL of.
To re-order the links within the menu, simply drag and drop them into their new position.
You can also add separators to split your menu into groups. The separators have their content and style defined via the design panel, as part of the Menu Component options.