using menus in Arjuna, all posts display

I’m using Arjuna, and have 2 menus selected to display posts in categories.
When I view the blog and select a menu item, the items in the category display momentarily, and then revert to showing all items.
I suspect this is due to the instruction “If you use WP Custom Menus, please assign a custom menu in Appearance > Menus. Otherwise, the menu will fall back to displaying all pages.” — but I can’t see how to do that. I know this is because I’m an ignorant newbie, but I’d apreciate some help.

Thanks.