Creating Menu

Menus can be found under Appearance → Menus. For more detailed usage of the menu manager, read this: http://en.support.wordpress.com/menus

For the location, the default setting is 'Menu that displays on All Pages', meaning it will appear across all pages.

The other location is 'Menu that displays in One Page style.' It should be set to the page that uses page scroll to the ID, e.g., #about for the about content (on the Home page of the demo site/content).

However, you can override this setting for individual posts/pages in the post/page settings inside the editor.