If you want to add the link to your menu, go to Appearance > Menus, and select the menu you are using in the top main navigation. If you don’t have a menu, see: How do I configure the top navigation menu?
If you want to add the link to your sidebar menu, go to Appearance > Menus, and select the menu you are using in the sidebar:
Select the category or tag you want to link to, and click the Add to Menu button. The link can then be moved in the menu order by clicking and holding the left-mouse button on the item, and dragging it to the desired location, just as any other menu item. Click Save when you are done.