You will need to remove the gaps between the drop-down menu items.
In your cssmw/menu.css file, in the rule for ul#cssmw ul.level-1 > li > a (about line 99), remove the 1px bottom-margin:
ul#cssmw ul.level-1 > li > a {
background-image:url("../cssmw_images/menu_bg.png");
background-repeat:no-repeat;
color:#FFFFFF;
display:block;
font-family:"Trebuchet MS",Geneva,Arial,Helvetica,sans-serif;
font-size:15px;
font-style:normal;
font-weight:normal;
height:20px;
line-height:16px;
margin:0 1px 0 0; /* changed from 0 1px 1px 0 */
padding:5px 5px 5px 8px;
text-align:left;
text-decoration:none;
text-transform:none;
width:236px;
}