create a new dynamic submenu and use the nested filter option.
the "" tutorial from the menu writer support page has details on use the nested filer option:
mw2_creating_dynamic_menus_ht.pdf
this goes beyond what we can offer assistance for through these forums, however, to offer more assistance for this we would need to work with you directly in a premiere support appointment, if you require more help to get this working, please sign up for a premiere support appointment.