What do the Pages, Categories and menu really do?

Hello whats the differences between menus, pages, and categories?

Why Im asking is because when I create a page it sets it up as a link. Then I had a hard time trying to figure out how to create a separate linked menus from categories and menus. Honestly, I still think its very confusing because they both seem to function similarly.

Can someone give me a tutorial where I can read up on the ways people use wordpress? Im pretty new so please forgive. Just that its a bit confusing at times.