There are several ways to do this; I will show you probably the most often used. 
This will create a menu control that has the following structure:
menu1
menu2
menu3
menu4
First, you will need to add a new web.sitemap file to your project that looks similar to following:
<siteMap xmlns="http://schemas.microsoft.com/AspNet/SiteMap-File-1.0" >
<siteMapNode url="" title="" description="">
<siteMapNode url="" title="menu1" description="">
<siteMapNode url="" title="menu1_1" description="" />
<siteMapNode url="" title="menu1_2" description="" />
<siteMapNode url="" title="menu1_3" description="" />
</siteMapNode>
<siteMapNode url="" title="menu2" description="">
<siteMapNode url="" title="menu2_1" description="" />
<siteMapNode url="" title="menu2_2" description="" />
</siteMapNode>
<siteMapNode url="" title="menu3" description="" />
<siteMapNode url="" title="menu4" description="" />
</siteMapNode>
</siteMap>
This will serve as the datasource for your menu control. You will see that it is formatted in typical XML formatting, which also means there is exactly one parent node with several children under it (and some of those child nodes having children of their own). This is the way you MUST structure this file; you are not allowed to have multiple parent nodes.
The next thing you will need to do is add SiteMapDataSource control onto your page (ASPX page or a Master Page, for example). The only required parameters are the ID and the runat properties. However, because of the way the web.sitemap file must be structured (all menu items falling under one encapsulating node), you will probably want to exclude the first-level node since it will probably not contain a real menu item.
With that in mind, your SiteMapDataSource should resemble the following:
<asp:SiteMapDataSource ID="SiteMapDataSource1" runat="server" ShowStartingNode="false" />
The last thing you need to do is add the Menu control that will reference the SiteMapDataSource above:
<asp:Menu ID="Menu1" runat="server" DataSourceID="SiteMapDataSource1" />
As you can see, you are merely adding an ID and runat property and then setting the DataSourceID to the SiteMapDataSource you created earlier.
At this point, you will have a menu that works. You will probably want to format it and you may also want to do things like integrate security or globalization, but this will hopefully get you started.
-Jacob