So I created my menu, and menu items like this
case WM_CREATE:
{ Sleep(1000);
AppendMenu(Men1,MF_POPUP, (UINT_PTR)Options1, "Game Type");
AppendMenu(Options1, MF_STRING, NULL, "CommandPrompt(Text Based)");
AppendMenu(Options1, MF_STRING, NULL, "Windows Mode(Semi-Graphics based)");
AppendMenu(Options1, MF_STRING, NULL, "Windows Mode(Text Based)");
AppendMenu(Options1, MF_STRING, NULL, "2D Mode");
AppendMenu(Options1, MF_STRING, NULL, "3D Mode");
SetMenu(hwnd, Men1);
break;
}