In order to build exhibits on your site, make sure you have the plugin "Exhibit Builder" installed.
Once you start to build an exhibit, you'll be taken to a form where you can enter some metadata about your exhibit. At the bottom of this form, you can start adding pages to your exhibit.
There are several choices for exhibit page layouts, ranging from all text, to text with an image or two, all the way to a page of all images. These "images" on the page can be actual images from your collections, or they can be thumbnails representing other item types (e.g. audio, video, pdf).
The best way to build your exhibit is to plan it out before you start building. Consider:
Your exhibit can bring in any item on your site - they don't have to be from a single collection. Items can only belong to one collection, but they may be displayed in many exhibits.