A file menu the main menu commonly found in most modern programs that allows quick visual selection of most tasks carried out within a program.
Below, you will see the file menu for a recent version of Mozilla Firefox outlined in red.
When instructions on this site tell you to use the file menu to select "Edit" → "Copy", you would select Edit from the file menu and then select Copy on the submenu that comes up.
Shortcut Keys
As you see, most items on the menu have an underlined letter. In windows, you can hold down control on your keyboard and then press the underlined letter to bring up the submenu for that item with your keyboard. From there, you can use your arrow keys and your enter key to select an item.
Direct Shortcut Keys
When a submenu comes up, you might see key combinations to the right of certain selections like the following.
As you can see, Copy has "Ctrl+C" next to it. This means that you can hold down control and press C on your keyboard to copy things within the program in question.
