Look up CSS Suckerfish Drop Downs.
That should get you started.
Generally Wordpress is quite good in that it nests menu's in LI items
<ul>
<li>List Item 1</li>
<li>List Item 2</li>
<li>List Item 3</li>
<li>List Item 4</li>
<ul id=sublist>
<li>Sub List Item 1</li>
<li>Sub List Item 2</li>
<li>Sub List Item 3</li>
</ul>
</ul>
If you can get your head around that you should be able to implement drop downs in Wordpress. Its a bit tricky, but possible.