1. First create a page as normal and assign a menu to the page as normal.  Note the physical (i.e. node/x) page address or the “friendly” address (i.e. content/sample-page).

2. Second go to Administer/Site Building/Menus/Add Menu and fill out the form for a new menu.  Assign the new menu the same node or content path as you noted in step one.  Save and your menu will appear pointing to the same page as the menu item that was created with the page.