I literally don't know where to begin with this. The only wp_nav_menu() documentation I found was http://codex.wordpress.org/Function_Reference/wp_nav_menu and all submenu docs reference a different function or layout. What can I do?
Just drag and drop menu items in admin area. Submenu will automaticly appears in html. Then you can style it with css as you wish. Dropdown or something else.
What are you trying to accomplish? create a menu or different menus and style them right?
@Alexey is right, just add menus or items to a menu from the appearance>menu screen.
Sometimes your theme may ask you to select a main or secondary menu. Once you have done that use firebug to detect the correct CSS styles to select the menu and submenu items, and add them to your stylesheet.
Wordpress isn't any harder than HTML/CSS once you get the hang of it. Don't get frustrated!