If by menu bar you mean the sidebar, when you install a theme most of the time they put "widgets" in your sidebar by default (Archive, Search, Categories, Pages, etc)
If you want to change that. Then go to Appearance > Menus as Greg said and create a custom menu. Give it a name and add whatever categories or pages you want to it. Then save it. Then go to Appearance > Widgets and drag the bar that says "Custom Menu" over to the the box named "Sidebar" on the right. Then if you go back to your website there should be nothing on your sidebar except your custom menu.
Hope that helps.