To enable this, add the following to the functions.php of your theme:

add_theme_support( 'menus' );

To call the menu into the theme, add the following to the header.php:

<?php wp_nav_menu( array( 'sort_column' => 'menu_order', 'container_class' => 'menu-header' ) ); ?>

where menu-order is the css class for the menu. You will have to change this according to your style-sheet.

Source: For more details – How to Add Custom Navigation Menus in WordPress 3.0 Themes