The menu consists of three nested lists which have been tied together by means of some class names and attributes given to the outermost list container. List items can be added or subtracted you can also make more levels of links.
The styling, especially the colours, can be found in the 'box' for 'head code' on the Element pane. The colours can of course be changed.
The menu will by default cling to the left side and top of a web page. If you want to move it, the best way is to add a wrapper around it with the necessary padding/margins. This has been done here.
The 'demo' on this page had to be just an image, because in this big Foundation file there is something on another page that apparently has the same class names with some other styling. Searching through the 90 odd components to find out what is clashing, takes a bit too long, so therefore the image. You need to download the component to see how it works.