You need to uncomment one line in the script.js file. You can find this file by going to Plugins -> Editor on your WP dashboard.
// open up onstart
//$netgo_navigations.find("li.current_page_ancestor,li.current_page_parent,li.current_page_item").find("ul:first").show();
Remove the // from the second line:
// open up onstart
$netgo_navigations.find("li.current_page_ancestor,li.current_page_parent,li.current_page_item").find("ul:first").show();
Click “update file” button at the bottom. Now the selected link’s levels will be collapsed upon page load.