You’ll need a more capable authoring program if you want to make menus with submenus. Look up GUIForDVDAuthor (free) over at videohelp.com and for a complex menu, look at this guide:
TMPGencAuthor 3 is about $90, includes an encoder and divx authoring capability as well. It can make more complex menus for you, though you will have to put up with periodic checks to make sure you aren’t a thief (requires internet connection in other words).
Another option is to buy DVDLab Pro. It is ~$250 these days. There is a free trial for the program if you want to try it out. It is much easier to use in my opinion. The help file included with the trial is excellent. May be more than you need, since this program is at the quasi-pro level.