First, if you have not done so already, create a list of links ("menu"). Then click Manage Blocks from the menu at the top of the page.
Scroll to the end (under the heading Disabled) and you will see an entry with the title that you gave to the list of links. You can use the drop-down list next to it to set where you would like the list to display: by default it will be set to " - None - ", i.e. it will not be displayed anywhere.
Click on the drop-down, and select either "Sidebar" to have it appear at the right-hand side of the page, or either Footer 2 or Footer 3 to have it appear in the page footer. Once you have positioned the links, click "Save configuration". See the editing notes on Positioning Blocks for more information.
By default, the list of links will appear on every page on the site. To change this, click the "configure" link on the "Manage blocks" screen (see image above). Go to the "Pages" section of Visibility settings:
By default, the block will appear on all pages except for a list of webpage address you can specify in the box. Alternatively, you can choose "Only the listed pages" and then specify a list of webpages for the block to appear upon.