Ok. As promised this is a different way to do things..

It requires 2 queries but I don't think that will break 
the bank :)

It looks like more code than it is because I have fully
commented it. Just mail me if you have any problems.

Cheers,
Justin :)

// ===================================================
// This is the new table structure that you will need..
// (only one table required)..

	CREATE TABLE menu 
	(
		my_id INT UNSIGNED NOT NULL AUTO_INCREMENT,
		parent_id INT UNSIGNED,
		cat_title VARCHAR(32),
		cat_prefix VARCHAR(32),
		game VARCHAR(100),
		description TEXT,
		PRIMARY KEY (my_id)
	);


// ===================================================
// Some test data for the above table..
//

	// 4 top headings with my_id: 1-4 (parent_id set to 0)
	INSERT INTO menu (parent_id,cat_title) VALUES (0,'Games');
	INSERT INTO menu (parent_id,cat_title) VALUES (0,'Ftp');
	INSERT INTO menu (parent_id,cat_title) VALUES (0,'Email');
	INSERT INTO menu (parent_id,cat_title) VALUES (0,'Text');
	
	// Sub headings with parent_id set as 1-4
	INSERT INTO menu (parent_id,game) VALUES (1,'Grand Theft Auto');
	INSERT INTO menu (parent_id,game) VALUES (1,'Ultra Tournament');
	INSERT INTO menu (parent_id,game) VALUES (1,'Pokemon');
	INSERT INTO menu (parent_id,game) VALUES (2,'Cute FTP');
	INSERT INTO menu (parent_id,game) VALUES (2,'Zappy Get');
	INSERT INTO menu (parent_id,game) VALUES (3,'Eudora');
	INSERT INTO menu (parent_id,game) VALUES (3,'Mikes Hack Mail');
	INSERT INTO menu (parent_id,game) VALUES (3,'Get Mail');
	INSERT INTO menu (parent_id,game) VALUES (4,'Ultra Edit');
	INSERT INTO menu (parent_id,game) VALUES (4,'Text Pad');


Note: This solution requires a database class that I have 
written that makes it very easy to work with databases.
It is only one file (ez_sql.php) and can be downloaded
from http://php.justinvincent.com (just add your db settings 
to it at the top of the file)

This is the actual php code that prints out the menu you are after...

<?php

	// =============================================================
	// PHP code required for 2 level drop down menu..
	//
	// (Using ezSQL DB class available from http://php.justinvincent.com
)
	// =============================================================


	// include the ez_sql database class making it very easy to 
	// to work with mySQL databases..
	include_once "ez_sql.php";

	// Function to print one option..
	function print_option($val,$text)
	{
		echo "<OPTION value=$val>$text</option>\n";
	}

	// Select top menu level options..
	$results1 = $db->get_results("SELECT * FROM menu WHERE parent_id = 0
ORDER BY cat_title");

	// Select second level menu options..
	$results2 = $db->get_results("SELECT * FROM menu WHERE parent_id !
0 ORDER BY game");

	// Open the select and do some formatting..
	echo "<select name=blah>";
	print_option("","Downloads..");
	print_option("","----------------------------");

	// loop through the main results array
	foreach ( $results1 as $m1 )
	{

		// Print top level heading.. 
		print_option($m1->my_id,$m1->cat_title);

		// for each top level heading loop through second level
headings
		foreach ($results2 as $m2 )
		{
			// if this second level parent_id == top level id
print..
			if ( $m2->parent_id == $m1->my_id )
			{
	
print_option($m2->my_id,"&nbsp;&nbsp;&nbsp;&nbsp;" . $m2->game);
			}
		}
		
		// Put a space betwen options..
		print_option("","");
	}

	// Close the select..
	echo "</select>";

	//
	// ==============================================================

?>