Why this code doesn't work: http://jsfiddle.net/8Observer8/aSfrj/
I take this code from here: http://jqueryui.com/menu/
You forgot to include this script:
I added yet (in "External Resources"): http://code.jquery.com/ui/1.10.3/themes/smoothness/jquery-ui.css
It works nice: http://jsfiddle.net/8Observer8/aSfrj/2/
Cool, glad that helped.