You can create them with a text editor and save them as a .rc file like;
This details a menu that you can call LoadMenu() on. If you use the resource editor with say VC++6, you can build this component graphically but it will still save it as the script you see above.
IDR_MENU1 MENU DISCARDABLE
MENUITEM "Connect", ID_CONN
MENUITEM "Disconnect", ID_DIS
MENUITEM "Exit", ID_EXIT
You can also create a menu directly in your code with the CreateMenu() function.