So, here's the five minute whirlwind tour of Joomla: You have Components, Modules, and Plugins.
Menu items link to components. This means that components are effectively "pages" in Joomla. So, you want a page to list a bunch of articles, for example? Create a menu item, and when you're asked to set it's "type" pick one the "articles" entries. Boom; you've just linked to a component.
Now, modules are odd bits and pieces of code that sit around components. Remember, the component is the "page" for all intents and purposes; modules are sidebar elements, "Related Articles" widgets and the like.
To create a new module, go to Extensions -> Module Manager and add one. Now, you can create a module that lists a batch of menu pages.
Lastly, you need someplace to put your modules on the page. The "template tag" if you're coming from Wordpres, is "". Drop that in your template on the sidebar, and change the name (the bit in parenthesis), to something like "sidebar".
Now, if you go back to the module manager, click your "Menu" widget, you should see a dropdown on the left where you can select the "position" the module should sit in. Select (or type in) "sidebar", and now that menu will be dropped into the page whereever you've placed your tag.