I'm not sure what you mean by setting drop down menus in a database. You can add the different menu items you want to a database and create a dropdown menu using these entries. If you get CSS Menu Writer, you can create a dynamic menu that uses database entries as the info. Basically, you would create a column to store what you want the menu item to have as a title and one that has the url you want the menu item to go to. In Menu Writer you can specify these and the menu will be created for you.
If you are a beginner at using SQL, your best bet would be to get a SQL GUI tool to work with the database visually. The MySQL GUI tools are useful for this: