After installing Magento, your category tree is almost empty. There is only a root category named Default Category.
The root category is not displayed in the frontend of the store – that's why your main menu is empty just after installing Magento. You need to add some new top-level categories (also called subcategories because they are descendants of the root category).
To create and edit categories in Magento, navigate to Catalog > Manage Categories section of the admin panel.
To add a new category, select the root category by clicking on it and click Add Subcategory button:
Fill in all the required fields in the General Information tab. Set Is Active and Include in Navigation Menu fields to Yes:
Click on Display Settings tab to open it. Set Is Anchor field to Yes, and click Save Category button:
This will create a new category (which will be displayed as a top-level category in the main menu on frontend):
Note that this new category has to be a descendant of the root category – it has to be one level lower than the root category: