Go to Control Panel > [Site menu builder]

After you click on "Create menu" a new pop-up window will appear. Enter a name of your menu (e.g. "Site_menu"), select display mode (usually it is vertical) and click save.

In "Site menu builder" you should pay attention to the following:

а) $SMENU_1$ - a code used in default templates to display site menu. A new created menu must have this $code$.
б) "+ Add menu item" – this link will call a pop-up window by means of which you can add menu items.
в) Under "Modules in use" you can see a list of all active modules. Click on a link to see url of a module.

Let's add "Ad Board" to our menu as an example.
First click on "Ad Board" in "Modules in use" and copy the url to the clipboard.

Then click on "+ Add menu item" and enter a name of the item and paste its url in a window that will appear. Click "Apply".

In the same way you can add other menu items.
To change the order of items drag them by means of a mouse.
If you want to add a subitem, click on a cross near the necessary item and drag it on the item, under which you want it to appear:

After you have made all necessary changes don't forget to click "Save".
If your new menu doesn’t appear automatically you may need to resave the corresponding template (e.g. Top part of the website).

Video: http://ucool.ucoz.com/dir/3-1-0-2