To add a new page you need to do two separate steps...
First of all - create the pages:
1. Left hand menu click on Pages - Add New
2. Give the page a name and add your content
3. To save the new page click on the submit button on the right hand side
4. You can choose to add this page underneath an existing "Parent" page or leave it without a "Parent" to make it its own "Parent"
Now to make sure the new page appears in your live menu...go to the left hand menu click on Appearance - Menu
1. Find your missing page/s and tick their check box
2. Add the page/s to the menu hierarchy
3. Slide the page/s to fit into your hierarchy
4. Press save when you finished