The HTML TOC which you see when reading through your e-book (and that's accessible by clicking the TOC button in the menu), and the NCX TOC which provides the little chapter markers at the bottom of the location bar on the Kindle are two different things.
Mobi-creation tools know to add them to the finished Mobi from information in the .opf file, which is like an inventory of all the files that go into making your e-book (cover image, text, etc.), which you can create to accompany your HTML text. Wikipedia's
ePub article has a nice short section with example .opf and .ncx files, in case you need help making them.
The Amazon Kindle Publishing Guidelines PDF linked above has a bit more on some Kindle-specific things you need tweak for a proper Mobi book when starting from an unzipped ePub source, since KindleGen expects them to be named/arranged differently.
Basically, the code that tells KindleGen (or Mobipocket Creator, or the Mobi2Mobi tools, etc.) where your HTML TOC is located is the <reference> tag above, which goes in a <guide> section near the bottom of your .opf.
For the NCX TOC, it's referenced in the <spine toc=""> tag, and you have to have an <item> entry in your <manifest> in the .opf which links to your NCX and gives it the exact same id="" name as the toc="" in the <spine> tag has.
If you've got everything filled out properly, then both types of TOC should be accessible via the menu/5-way controller and show up properly in the finished Mobi.
Hope this helps, and welcome to MobileRead!