The menu bar is like the nuts and bolts for the Illustrator program. You can find some of the same functions in the menu bar as well as you can in the option bar and the floating palette.
However, the menu bar is the only place that you can save, save as, open, create a new document, and all the document set up that you may need.
When you get more comfortable with illustrator, you may not even need to use the menu bar. If you look to the right of many of the menu items, you will find a keyboard shortcut. This can be really helpful when you are doing repetitive tasks.