If you haven’t updated WordPress in a while then yes you’ll notice they changed a few things around. Here is some documentation on the Menu pages – http://codex.wordpress.org/WordPress_Menu_User_Guide and this – http://codex.wordpress.org/Appearance_Menus_Screen
You want it to look like the demo right? You would create your menu first, then go to your widgets and drag a “Custom Menu” widget to the “Header Right” widget area. You won’t need to enable the Primary or Secondary menu locations since the Header Right widget area will show your Custom Menu widget.