To setup navigation menu, from admin panel go to Appearance and select Menu. Open “Screen options” and enable post types that you may be want to include to your menu later.
You can drag and drop links to your pages, posts. Or even create a custom link. Once you’ve done, your need to make sure that menu is added to “Main Menu” location. Enable this checkmark if it’s not active yet and click “Save menu”
If you want to change menu appearance (classic or fullscreen) – you can do this from WordPress Live Customizer panel.