What kind of menu ?, OpenGL has no concept of menus so you can do it in pretty much any way you want.
A set of buttons is quite different from a nested dropdown menu.
Buttons are generally just textured quads. (If you want a mouse over effect on buttons i suggest storing both images in a single texture and just shift the coordinates when the mouse is over the button).
a dropdown menu is far more complicated and i'd recommend using a GUI library such as CEGUI for that.