Are you thinking that you want categories pages that different posts on different subjects appear on? If you are then read what follows.
Only the dynamic pages like Archives, Categories and Tags created by the software when we publish a post will update automatically update with new posts. Although there is only one dynamic page in a blog for posts (not pages) http://en.support.wordpress.com/post-vs-page/ and we cannot post to more than that one page, we can create the appearance that we have posted to more than one page.
This guide will walk you through how to create category pages for your blog, to display groupings of similar posts on pages other than your front page. http://en.support.wordpress.com/category-pages/
Create a custom menu
Add dynamic categories and sub-categories pages to it
Create order and sub-menus (dropdowns)
Here's a link to my post on this http://onecoolsitebloggingtips.com/2013/07/25/create-a-wordpress-website-step-by-step/
There are many common errors, misunderstandings and misconceptions when creating custom menus and there are some tweaks you can use to improve your custom menu as well.