Hotspots can link to a number of content types, including documents or videos, web URLs — and other slides.
Most presentations will have multiple 'layers' of content, and the best way to build a navigational structure for this content is to make new menus to access it. A 'menu' is basically just another slide with some more hotspots on it.
Here's how to create a new slide (or menu) from a hotspot:
Create a hotspot or select an existing one and select 'Add Content' from the toolbar above your presentation.
Select 'New Blank Slide' if you want to start fresh, or 'New Image Slide(s)' if you have a slide background image ready to go.
This will create a new slide, which will appear in the Slides list in the left-hand column. Scroll down the list to jump to your new slide. Or, hover over the hotspot you just linked it to and click the letter/number combination that appears above it.
Edit your new slide! Try adding a background and creating some more hotspots that link to files, videos, or other slides. The world is your oyster!