The way standard menu's look is contoled by Windows.
Why?
Because we want an user interface that is recognized by anyone.
If you want something else then you'll have to build your own components.
Next question will be: is it worth the time?
Personally I like component building but it's quite another ball game. Building a single component may take the same time as building a comple application. Just think of what a menu actually is:
It's a list,
specifically a drop-down list of strings,
Since it's not a common list you'll have to calculate the the length of the list and the positions of the strings.
You can click on the strings and then generate an event but...
Strings/items can be disabled,
There are separators (which should be disabled items)
There can be any level of submenu's
You need to draw an arrow or something like that to indicate the submenu
You have to supply a backgroundcolour,
a font, but...
Also change the backgroundcolour if selected
Make visible (underscore?) what the shortcuts are,
intercept keypresses for them,
also Up, Down, Left, Right, Escape, Enter to navigate through the menu's
Make them reusable for other apps that you program.... and so on and so on.
If you just want menu's, stick to the windows style.
But then again: Personally I like component building... :-)