1. First you need to activate the plugin required by the theme "Max Mega Menu".
2. Then navigate to "Appearance > Menus", create some menu and mark the option "Enable" under "Max Mega Menu Settings".
3. Now you have the menu, click "Manage Locations" and set the menu for "Primary Left Menu" or "Primary Right Menu".
4. Save and you are done!
Useful information: Max mega Menu allows you to add additinal styles to your menu. Just go to "mega Menu > Theme Settings" and use the tons of options for changing background colors, fonts and margins. It also allows you to add your custom widgets: