How to change to custom menus

Hi. I upgraded to the latest BuddyPress and Business theme. I would like to use the custom menu option, but your /appearance/menu option states:

"The current theme does not natively support menus, but you can use the “Custom Menu” widget to add any menus you create here to the theme’s sidebar"

I need to change this to the menu items I want. How do I do this?

Thanks,
-James