PSD files are layered image files which are a graphical representation, the skin of the website, as it is drawn. You can think of them as a 'snapshot', a graphical template with guides positioned at various level to indicating segments such as logo and all page elements which are later converted to either individual images for backgrounds or to CSS codes as appropriate.
PSD files are opened with Adobe Photoshop and 'chopped up' right into png/jpg or imported into Adobe Fireworks (depending on the preference of the designer/developer). The PSD files which came with the theme would allow you to change all graphical aspects of the site since the guides indicate the correct size of every single image used in your theme.
However, without a firm understanding of Wordpress, PHP, CSS, HtmL5 and jQuery you would have a difficult time 're-designing' the Theme on your own. The learning curve would be steep. On the same note, many people quickly pick up bits and pieces, enough to comfortably make cosmetic changes, and rearrange/supplement an existing design.
You should download Firebug browser add-on as well as Developer Tools for Firefox or Chrome (Firebug Lite) and you will be able to see how CSS, Images, HTML all interact via the document object model. I suggest you watch a YouTube video on Firebug, since without understanding that tool you will be lost.
If you spend 6 hours practicing, while watching Youtube videos and reading supplemental tutorials, you will get an understanding of at least what needs to be done and more importantly, gain a useful skill applicable to your trade and interests.
You are asking fair but challenging questions which are difficult to answer in a way that will be satisfactory to you, and will do nothing but create more questions, since what you really want to know is where to start. Your website is located on a server and can be accessed via FTP. Please download http://filezilla-project.org/download.php and get the login/pw/port/url from your host. You can setup a local environment to play around with Wordpress by downloading XAMPP http://www.apachefriends.org/en/xampp.html (for Windows, Apple or Linux).
To change menus, right click on them (after installing firebug) and inspect the sections of the html by left clicking the html tags, the right panel will show you which css selectors are producing the colors, fonts, sizes, position of each element and in which css files the selectos are located.
http://www.youtube.com/user/killerphp (has a whole list of *free* videos*, and if you search on Youtube there are entire 60 minute free follow along video classes)
As with any subject, to gain skill one must practice and study.
[Disclosure: I am not affiliated with any of the three URLs I've listed above. I use both the free XAMPP installer and opensource Filezilla and randomly picked a cool looking Youtube video.)