See picture, drop one of those on your form.
Then doubleclick it, a new window ("Menu editor") will open.
There will be one item, which is the first menu (e.g. could be the "file" menu). Select it in the object-inspector to rename the caption, or change properties.
in the menu-editor, use "insert new item (..)" to add further menues.
Use "Create sub menu" to add items inside the menu, and the use "insert new item (..)" BUT on the item-inside-the-menu, to add further items....