When I first made the transition from Windows XP to OSX I was a bit confused about the Finder menu. To a Windows XP user, the Finder menu had the features of the start menu, an application menu and the tray notification area rolled into one. The menu bar is broken into two areas, on the left side are application menus, on the right side is a notification area.
The application menu shows the menu of the currently active application. When no application is running, the bar displays the Finder menu. If you are used to Windows XP this may take some getting used to. Windows XP application menus are typically displayed inside the running application window. If you are running an application and want access to the Finder menu, just click on the desktop.
The icons on the right side of the menu bar typically indicate the status of running programs. This is very similar to the tray notification area used by the Explorer in Windows XP. Applications can place an icon in this area to provide you with valuable feedback. Icons in this area also can have their own menus attached to them to allow quick access to common application functions.