wildmenu and wildmode are used for command line completion. The simplest way to try it would be with :color <Tab>: the command line is “expanded” vertically with a list of all the colorschemes available on your machine displayed in columns and an horizontal strip that you can navigate with <Tab> (forward) and <S-Tab> (backward).
The behaviour of command line completion and wildmenu are dependant on wildmode.
See :help wildmode and :help wildmenu for more details.