We are talking about Windows graphical menus. You are not able to create such menu on a child window -- end of story.

This is defined by a company who developed Windows OS.

MSDN link for SetMenu function:
A menu can be assigned to any window that is not a child window.

DEFINE MENU ... AT LINE is a different kind of menu. All various menus you saw on child windows were programmed with a lot of work and a solid Windows-under-the-hood knowledge -- trust me.

If you'd rather create a new class -- do it. If there is a will there'll always be a way :)