The main navigation can be updated by going to Entrys > Main Navigation. Once here you can update a link by clicking the link or reorder and nest links by dragging and dropping the handle next to the title.
To Create a new navigation item click the New Entry button on the top right of the page.
Here you can link to an existing site page. If you want an offsite link, on the right side click the Entry Type and change it to Offsite Link. You will then be able to paste in an offsite link and force it to open in a new window if you like.
If you want a navigation item that doesn't link anywhere, for example as the top level of a dropdown menu, choose No Link and enter the title of your menu item.
Now save the item and you can drag & drop it into the correct location in the menu.