To create a page that won't be found on your website's main navigation menu, please first go ahead and create a new page on your website as normal.
Next, 'Publish' the website, and go to your live website to copy the URL of the page you just created. Paste it somewhere for later reference.
Next, go back to the editor and remove the page from the menu. The page will still be accessible through the URL you copied earlier.
This could be useful for creating 'Hidden' pages for your users to access via E-mail mailout links etc.
Have some fun with it.
