Most of our theme support custom Menus which enables a user to create custom navigation menu in place of a theme’s default menu. Menus can be use to display anything from, links, posts, categories, tags, etc.
- Go to Appearance > Menus
- If you haven’t any menu created, hit Create a new menu
- On the left select Posts, Pages, Categories, etc. and hit Add to Menu
- Order and Sort your categories
- Hit Save Menu
You could also assign a menu to a theme location.
Article taken from WordPress Codex: Appearance Menus Screen