This behaviour was dropped from Windows some while ago -note that Windows Vista/7 use a tree to show programs in the start menu. I suspect that this was because it presents too much data and decision making for the user.
Are you sure that this is the best way to present the choices to the user?
If so, then you will probably need a custom menu control which will be quite a lot of work.
- If not, then you should consider how
you can achieve the same choices with
other controls. How about a list with
a filter?
- Is there some natural grouping to the
items? If so you could split into
listboxes, comboboxes or trees.
- Does the application need splitting
into different modes?
- Are the items numbers? - if so a
numeric up/down control might work
The general approach is to simplify the amount of decision making that the user has to make at any moment.
Spend some time playing with all the controls in the WinForms toolbox to see what works well.