Step 1: You need to specify your header

Please go Admin -> Mage Solution (MGS) -> MGS Theme Setting -> Header, you will see

Step 2: You need to specify the Block ID of your vertical menu that is appropriate with your header

Please go Admin -> Content -> Block -> Search "Vertical"

As you can see, here is just an example.the block ID that we're mentioning is "2"

(All the blocks were auto generated when we import our static blocks into your Magento)

Step 3: You need to create a vertical menu with the ID you found, for example, the block ID is "2" so you need a vertical menu has ID = "2" as well

Please go MGS -> Mega Menu -> Manage Menu

Please note: The menu type must be "vertical"

Step 4: Now you can create items for your vertical menu

Please go MGS -> Megamenu -> Manage megamenu items -> Add item

Please note: You need to choose the proper menu