Using Category Menu

Hi,

I am excited to get to grips with the Category Menu, which is new for me, but I am having trouble getting my head around it.

I would like to create a menu structure as the following, but I am struggling.

<ul id="nav">
<li><a href="#">Home</a></li>
<li class="current"><a href="#">Link</a>
<ul>
<li><a href="#">Menu Item</a>
<ul>
<li><a href="#">Sub-Level Item</a></li>
<li><a href="#">Sub-Level Item</a>
<ul>
<li><a href="#">Sub-Level Item</a></li>
<li><a href="#">Sub-Level Item</a></li>
<li><a href="#">Sub-Level Item</a></li>
</ul>
</li>

<li><a href="#">Sub-Level Item</a></li>
</ul>
</li>
<li><a href="#">Sales</a></li>
<li><a href="#">Another Link</a></li>
<li><a href="#">Department</a>
<ul>
<li><a href="#">Sub-Level Item</a></li>
<li><a href="#">Sub-Level Item</a></li>
<li><a href="#">Sub-Level Item</a></li>
</ul>
</li>
</ul>
</li>
<li><a href="#">Contact Us</a></li>
</ul>

I have searched the forums but I couldn't find any more information.