You can easily create submenus using the submenu
menu item type. When you create a submenu, you have to add a section to your script file with some name; you then have to link the submenu item to that section using the SubMenu
parameter of the item.
You can then fill the submenu section with menu items, just as you do with the [Menu.*] sections.
Example
[Menu.Right]
Type: submenu; Caption: "Submenu Example"; SubMenu: MySubMenu
[MySubMenu]
Type: item; Caption: "&About"; Action: about
Type: item; Caption: "E&xit"; Action: exit
Type: submenu; Caption: "Another Submenu"; SubMenu: AnotherSubMenu
[AnotherSubMenu]
Type: item; Caption: "&Notepad"; Action: run; FileName: "%Windows%\Notepad.exe"

See Also
[Menu.*] Section