The demo is the actual site menu, the above is just an image of it. The menu will collapse and disappear off-screen when not in use.
Note: that there is a HTML element which is set to display none, containing a small script that makes the menu work.
Editing the menu: Find the container with the class name .sidenav. It has a width of 0px. Change that to e.g. 250px, then it will be visible and can be edited. Set the width back to 0px when you are done.
Hot tip: Make the menu into a 'symbol', so that if you update it on one page, the menu on the other pages will be synced to show the same update.