Try downloading a "Theme Starting Points" item like this one: https://appstore.home.mendix.com/link/app/2154/Mendix/Blue-Wave
When creating a new page you get the new "page template" selector and there you can choose the pages that are in https://ux.mendix.com/
the menu options are defined through the modeler. The theme files are located in the project folder, in subfolder theme.