There are two different ways to link pages and menus to one another. One is selected through the page itself, while the other is added through the menu settings.
Option 1
The first, and easier, way is to go to the page, and select the menu.
1. At the top of the Edit page, click on the 'Menu Settings' link directly beneath the 'Title' field.
2. In 'Menu Link Title,' type the text that you want your page to display on the menu.