You can create your header menu from Appearance > Menus and assign that menu to the header by checking Header menu box and click on save.

To create a mega menu you have to be sure that Screen Options (CSS Classes) box is checked.

1- Click on Screen Options.
2- Check CSS Classes box.
3- Add the word megamenu to CSS Classes (optional) box.

To create a header button you have to be sure that Screen Options (CSS Classes) box is checked.

1- Click on Screen Options.
2- Check CSS Classes box.
3- Add the word headerbtn to CSS Classes (optional) box.