For a menu like that to work you need to have a nested sitemap made out of unordered lists and list items. From that CSS styles can be applied to make the menu look like the one in your example. To use SilverStripe to generate your nested unordered lists you could use this code:
<ul id="nav">
<% control Menu(1) %>
<li class="$LinkingMode"><a class="firstlevel" href="$Link" title="$Title">$MenuTitle</a>
<% if Children %>
<ul>
<% control Children %>
<li class="$LinkingMode"><a class="secondlevel" href="$Link" title="$Title">$MenuTitle</a>
<% if Children %>
<ul>
<% control Children %>
<li class="$LinkingMode"><a class="thirdlevel" href="$Link" title="$Title">$MenuTitle</a></li>
<% end_control %>
</ul>
<% end_if %>
</li>
<% end_control %>
</ul>
<% end_if %>
</li>
<% end_control %>
</ul>
This will give you a list of all pages in your site up to 3 layers deep. Then use the CSS styles from that site (or any other similar ones) to style it with hover effects and all that jazz.
This is quite a good tutorial on how those menus work http://www.alistapart.com/articles/horizdropdowns/.
Post any follow up questions :)