If I understand correctly, you're asking how the creation of menu items links to components? When you create a menu item, you have to chose what kind of page, article, or component you're going to link to, and you have to choose from a massive list depending on how many components you have installed.
For example, with Articles you have the following choices:
Archived Articles
Category List
Category Blog
Create Article
Featured Articles
List All Categories
Single Article
What this does is call the component in question into the main
position on your Joomla! site. How this component is displayed is up to you. So selecting "Category Blog" will allow you to display all of the articles in a specific category of your choosing. If you want to just display a page with your choice of text on it, you'd need to create an article and then select Single Article
, using the desired article as the Menu Item Type.
Most of the display settings can either be changed in the component's menu or in the Global Configuration menu.