I'm looking to create a navigation menu similar attachment photo in arthemia theme.

That is known as a breadcrumb and it normall follows the page hierarchy. There are ways to alter breadcrumbs ,a couple of quick modules that I found that do such stuff:

http://drupal.org/project/custom_breadcrumbs
http://drupal.org/project/menu_breadcrumb

There may be more. It all depends on what you actually want to achieve.