Insert menu can be used to change the mode of the sketch. You can change the mode to Mesh Sketch, Sketch, 3D Mesh Sketch, 3D Sketch.
Mesh Sketchb You can deal mesh sketch using this option. You can sketch in the mesh data.
Sketch:You can sketch using this option.
3D Mesh Sketch:You can deal sketching in 3D Mesh using this option.
3D Sketch: This option deals with 3D sketching.
Insert also deals with Solid, Surface and Feature Modeling. You can Extrude, Revolve, Sweep etc.