I'm looking to create a menu much like the one on the following site:
Where there is a list of sections and then when the user clicks a section subsections appear below without the page having to be reloaded. How would I do this ?
Two of the great things about the web are the ability to download everything you see and google.
If you like that menu, download and save the page. All web browsers can do that - and will include all the components. You can then play with the various bits until you work out how it all works. If you want to use some of the same code for your own site, find the author's own site and check the licence to see if there are any restrictions.