Using CSS ID’s and Classes with images in a WordPress Horizontal Menu

Menus are very flexible, but are also quite complicated inside.

Start with wp_nav_menu() documentation for basic customization of container elements and such. You might need to tear it down to basic list items to integrate into more complex markup.

You can also use custom Walker, but I won’t recommend any novice to go there (heh, most professionals seems to be scared of Walkers).

PS note that while asking about menu mechanics is on-topic, purely CSS questions (“how to get it look like this”) are considered not specific to WordPress and better asked elsewhere.