We strongly advise you to watch this help video to understand the advanced features comes with Theme Options. However, if you don't want much details and start it right away, you can follow this page for main features.
To use left menu, you should first build a menu. If you don't have a menu yet, you can learn more about menus here
If you have your menu set up and selected it as navigation menu, then you can enable left menu easily. To enable left menu, easily follow these steps ;