First of all you need to create a new web. FP will, by default, create the web in the 'My webs' folder on your hard drive, and that's where it will be saved until you publish it to a server.
Your new web will open in FrontPage with a blank page, and you can then set about creating the homepage, complete with Navigation bars. The best way to get a uniform 'look' is to apply one of the many FP themes, and you can do this by going to the Format menu and selecting 'Theme'. FP will present you with a themes dialogue, where you can choose a theme, and choose to apply it to the current page, or every page in the web. Select the latter option, and you'll find that each time you add a new page it will appear already formatted with the theme.
If you want the navigation to appear on every page in the web you must add each page to the navigation view (View/navigation) by dragging it from the folder view into the navigation view. Place each page directly under the 'Home' icon, and you'll see link lines automatically appear.
There isn't the space here to give a complete FP tutorial, and I think it best that you come back to the thread with specific questions as you get deeper into the software. It's all a bit strange at first, as new software generally is. You're working with a very powerful application in FrontPage, and it's worth taking some time to acquire the basics before you start on your site in earnest.