Merch: Creating the Header menu
This header menu for the Merch theme is called the "Primary Menu".
You can create and manage this menu by navigating to Appearance > Menus.
The steps to create a menu for your site are the same as you would any WordPress menu. The WordPress Menu User Guide will describe how to create a menu, add menu items, create multi-level menu items, and more.
Once your menu is created, assign it to the menu location you'd like it to be displayed: