How do I find the Settings menu on Apple TV?

If you are using the Apple TV box, then the Settings app would be among the other app tiles on the Home Screen.

If you are using the Apple TV app on a third party device, then the app settings are in the sidebar on the left. If the list in the sidebar is very long for you, then you may have to scroll down to see Settings listed, depending on app version and region.

If you are using the Apple TV app on yet a different device, then please specify.

This simply doesn’t work. Pressing buttons on the remote has no effect.

On the remote, press the TV button (right above the volume button) and swipe down to see all the apps. "Settings" is actually an app, not something you'll find in the Control Center.