Create a new menu from Menus (Admin Control Panel -> Site Content -> Menu) by clicking on New menu button in the upper right corner of the screen.
Enter the name of the menu.
Enter the handle of the menu.
Select from the dropdown list which section(s) will be included in the new menu.
When done click Save and you'll be redirected to the main Menus page.
Take a look at the 3 footer menus from the previous picture.