From the Official docs (available here
http://rtfm.modx.com/display/ADDON/Wayfinder):
Wayfinder is a Snippet by kylej that scans a specified portion of the MODx document tree, finds all documents that satisfy a certain criteria (determined by the Parameters), and outputs a formatted list of those documents.
To put it another way it scans the list you see on the left side of the manager screen under the resource tab and makes a menu (well really a list) from the resources it finds there that match parameters you give wayfinder.
With your call it should find all the first level resources under the web context ...
So:
you need to have some resources
the resource needs to use a template with the wayfinder call in it OR have the call in its content
the resources need to be published to show up
the resources need to not have the 'hide from menu' box checked
This will produce a list of links - it is up to you to make the list look like a menu (using css)