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.

“Your theme supports 0 menus. Select which menu appears in each location”

Reading further on the following pages, we can enable the menus using these functions:

http://codex.wordpress.org/Function_Reference/register_nav_menu
http://codex.wordpress.org/Function_Reference/register_nav_menus

To fix this using the above, in your wordpress theme (create the files if they don't exist.):

header.php (Right after body tag)
<?php wp_nav_menu('menu=Header'); ?>

functions.php (Right at the very top)
<?php
        if (function_exists('add_theme_support')) {
                register_nav_menus( array( $location => $description ) );
        }
?>
 

CSS Styles come later and can be applied

After that, you should see:

Your theme supports 1 menu. Select which menu you would like to use.

and should be able to create and customize your menus using the wordpress admin panel for your blog.  Here are some alternatives how to enable and apply CSS as well to style your menus:

The alternative to use if the above doesn't work is the following:

functions.php (at the top of the file)
<?php
        if ( function_exists( 'register_nav_menus' ) ) {
                register_nav_menus( array('MDS MENU' => 'MDS MENU' ) );
        };

?>

header.php (placed where you want the menu to appear)
<?php
        wp_nav_menu ( array (
                'theme_location' => '' ,
                'container' => '' ,
                'container_class' => '' ,            
                'menu_class' => '',
                'menu_id' => 'menu' ,
                'menu' => 'MDS MENU'
                )
        );
?>

Notice the menu_id.  This ID specifies the CSS ID of the functions to apply to your menu.  For example:

#main       {
        height: 30px;
        margin: 0 0 10px;
}

As an example.  The generated HTML menu code would look like this:  <ul id="menu"> ….  In my case, theme_location property did not work but your tests may prove otherwise.

Cheers,
TK