Let us first start with creating a section. To do that, please go to the Content menu and select the Section Manager option.
Once in there, you will see the list of existing sections. Click the New icon in order to create your own section.
In the fields that appear, fill in the details of the section: title, description, etc. When done, please click the Save icon at the top right.
You will be taken back to the section list, which will now include the section you have just created. In order to link it to a menu you will need to click on its name and edit the linking properties (those preferences determine where in the menus should the section appear in the menus of your website).