A section is a group of pages that creates a sub-navigation menu in your main navigation. For some themes, this will automatically create a drop-down menu. Other themes (such as York) simply list the sub-pages below the title of the section.
Sections can be created in the Pages tab by clicking New Section. After you've created the Section, give it a title and save it. Then you can drag existing Pages into it. If you no longer want the Section, drag the Pages out of that Section (or delete them) first and then delete the Section.
Note that the Virb Themes currently only allow for one level of sub-navigation so you can't embed Sections within Sections.
Here's a video to help you learn how Sections work: