In Joomla!, a Menu is a set of menu items. Each menu item defines an URL to a page on your site, and settings that control the contents and style of that page. Additionally, each menu item has an alias that will be used to create human-readable URLs when Search Engine Friendly URLs are on. Menu items can have any number of subitems.
A Menu isn't automatically shown on any page. You need to create a menu module to show the menu on all or some pages. Each menu can be shown by one or more modules (making it possible to show the same menu in different positions). It is also possible to create Split menus.
A Menu that isn't shown by any module is usually called a hidden menu. Hidden menus can be used to create URLs that are not visible on any page.