Easy to do.
In the Dashboard, click on Appearance->Menus
There are three (maybe four) things you need to worry about.
1) Theme Locations
2) Menus
3) Menu Items
4) The menu widget in one of your sidebars.
From what I see, you may not have any menu widget created, so menu may be picking up the default categories. We’ll address that in the last step.
1) First, create a Menu (top right of the menus page). If you don’t have a menu already, click the + symbol. Enter a menu name (this is for your reference, but the name will not show to users). Click the save button. (Click the save button after any changes.)
2) Now, add menu items to the menu. Do that by selecting the category or pages and the click add to menu. Add as many as you want. Then you can organize the menu items by clicking each item and sliding it up or down. So, you will want to create a menu item using the “Collections” category. If the category is not named collections, that’s ok. You can click the little down-arrow. Then you can edit the name of the menu item. (Remember to save the menu.)
Now add whatever other menu items you want under that menu item. BUT, you can pull the menu item to the right just a little bit. That will tell the menus that you want it to be a drop-down under Collections. Those items can be categories, pages, or even custom links to wherever you want on your site or on the internet. Once you have moved (to the right) any items you want listed as a drop-down menu, click the save menu button.
3) Different themes allow different menu locations. It appears that your theme supports at least two positions. The menu at the top-right and the main menu. Under the Theme Location menu, there will be a menu probably called “Primary Navigation” and “Secondary Navigation” or something like that. Each will have a drop-down. You need to select the new menu in the drop-down of either the primary or secondary navigation.
4) The final step is to make sure that the menu widget is put in the correct sidebar. This may be automatic depending on your theme. Also, your theme may have special settings whether you are using the primary or secondary navigation. Again, those would be specific to the theme. Probably the company that produces the theme will have a forum to help you, if this doesn’t make the menus show up correctly.