If we ask the user for a number it is easy to check if they input a String but 

If we ask the user for a String such as a first name, they can input a number and it will still go through as a String. Is there an exception  we can use to check this? 

Generally speaking, when you ask the user for numeric information, you should always read and store it as a number.  Numbers take up far less space than Strings in general so to store everything as a String is very inefficient. 

If you read a number that is a String, you can always convert it to a number using one of the parse methods from the wrapper classes.  If the parsing throw an exception (which it will if the String is not a number). You can catch that exception.

Generally yes, you would check for something like this, but since the menu system is already going to be a lot of work, you can optionally check for numbers where the data should be characters only, just to make the assignment a little more manageble.  Again, good thinking though, this is the kind of error checking that you should always be considering as a programmer.