The Layers menu is used to create, delete and manage layers, which are displayed in the Layer Bar at the top of the screen, just below the menus. If you do not see it, choose Layers 
Toggle Layer Bar.
The first layer in the list is always the Default Layer, and it cannot be deleted. If there are no new layers, all geometry is placed on the Default layer.
Click a layer tab to make it the active layer. It is shown in yellow, and any new geometry is automatically placed onto it. Or simply assign geometry to the correct layers as required. To re-arrange the layers on the layer bar, use the middle mouse button to drag the layer tabs left or right. To scroll, use the arrows at the right end of the bar.