The menu system lets you define menus and such on the fly, but how those menus are displayed is up to you and your CSS capabilities (if you’re creating a theme).
For example, on that site you linked to, the menus are LI elements inside nested ULs. It’s the CSS that causes the display of the dropdown to behave the way it does.
Similarly, the WordPress Menu system will let you define links on the fly, and then the wp_nav_menu() function can output those menu items as lists just like that. Making it then behave the way you prefer is a matter of themeing and CSS.