BEFORE YOU DO ANYTHING MAKE A BACKUP COPY OF ALL FILES YOU WILL WORK ON!!! (in this case the help.tpl)
To delete items from your help menu go to skin1/help.tpl (with ftp) or just help.tpl in Admin center under "Edit Templates" and you will see something like this:
{* $Id: help.tpl,v 1.16 2003/11/17 07:30:40 svowl Exp $ *}
{capture name=menu}
{include file="pages_menu.tpl"}
{/capture}
{ include file="menu.tpl" dingbats="dingbats_help.gif" menu_title=$lng.lbl_help menu_content=$smarty.capture.menu link_href="help.php"}
You would then remove the areas that I have marked in blue as well as any other area that looks similar or is a link.
As far as creating new menus it is a little more involved... what did you have in mind?