The following code creates a menu and adds menu items dynamically.
Menu mainMenu = new Menu();
mainMenu.Background = Brushes.LightGreen;
mainMenu.Height = 300;
mainMenu.Width = 200;
MenuItem item1 = new MenuItem();
item1.Width = 50;
item1.Header = "First";
mainMenu.Items.Add(item1);
MenuItem item2 = new MenuItem();
item2.Width = 50;
item2.Header = "Two";
item1.Items.Add(item2);
MenuItem item3 = new MenuItem();
item3.Width = 50;
item3.Header = "Third";
item1.Items.Add(item3);