Your question lacks enough detail to give you a good answer. Are you creating a menubar by putting menu buttons in a frame? If so, that's the wrong way to do it. Create a menu widget and assign it to the menu property of the main window and you'll end up with standard menus that behave normally.
Here's a simple example:
import Tkinter
root = Tkinter.Tk()
menubar = Tkinter.Menu(root)
root.config(menu=menubar)
fileMenu = Tkinter.Menu(menubar, tearoff=False)
editMenu = Tkinter.Menu(menubar, tearoff=False)
menubar.add_cascade(label="File",underline=0, menu=fileMenu)
menubar.add_cascade(label="Edit",underline=0, menu=editMenu)
fileMenu.add_command(label="Open...", underline=0)
fileMenu.add_command(label="Save", underline=0)
fileMenu.add_separator()
fileMenu.add_command(label="Exit", underline=1)
editMenu.add_command(label="Cut", underline=2)
editMenu.add_command(label="Copy", underline=0)
editMenu.add_command(label="Paste", underline=0)
root.mainloop()