Not many people include these into presentations and typical are more suited to large presentations, or those that can be run independantly at Trade shows, Exhibts, and so on. The basic mechanisim to get menus working in your powerpoint is the use of Triggers and Hyperlinks.
What's interesting is that finding inspiriation for menus, again, comes not from looking at other powerpoint slides and use of action buttons - but everyday things like digital signage and DVD Movie menus.
Using menus allows you to place a universal menu bar, meaning it appears on every slide. Or, you can create a menu that appears only when you click for it, and thereby not distracting the viewer away from what every maybe appearing on screen at that time.
You can donwload a sample menu here.