If it's mouse driven, I'd say that's the easiest to do. Here's an example menu:
NEW GAME
LOAD GAME
QUIT
Now, to do this, make each word a text actor; then place a Filled Region over each. Then for each of the Filled Regions make a Mouse Button Down event and then choose the actions you want to perform when the mouse button is clicked. (You could also use a Mouse Enter event for each Filled Region to do highlight effects as well.
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Sorry I can't be of any more help, but I don't know what you want your menu to do.