To have such an interesting element on your site, you would need to prepare images that will be used for the slideshow and Joomla menu. To create a Joomla menu, go to Menu Manager and click New. Then add some menu items and subitems in the menu. We will not elaborate Joomla menus and menu items here, so make sure you understand that well or learn it from Joomla documentation: http://docs.joomla.org/Menu
Each menu item from the first level has its slideshow image. Those images should be named as bg1.jpg, bg2.jpg, bg3.jpg, etc. The menu items from the first level are shown in a row that covers the images. The slideshow is divided into the several equal parts. The number of the parts is determined by the number of the published menu items from the first level.
The menu items from the second level are shown above their parent menu item from the first level. The active menu item is selected by default and their children are also shown. When user move the pointer over the another menu item (from the first level), the slideshow animation starts and shows the image for the selected menu item. The menu items of the second level also have the background images. Those images are PNG type (they can be transparent) and they should be named as sub1.png, sub2.png, sub3.png, etc.
The menu items from the third level are shown when user move the pointer over the menu item from the second level that has children. The third level menu items are shown in a pop-up balloon.
The menu used for the Hot Flashes Menu can have menu items that's maximum 3 levels deep.