1.创建基于对话框的MFC工程MyMenuFont；
2.创建空内容的菜单，在rc文件中添加代码；

/
//
// Menu
//

MAINMENU MENU 
BEGIN
    POPUP "菜单"
    BEGIN
        MENUITEM "",                            IDM_BOLD
        MENUITEM "",                            IDM_ITALIC
        MENUITEM "",                            IDM_ULINE
    END
	POPUP "设置"
	BEGIN
	    MENUITEM "",                            IDM_FILE
		MENUITEM "",                            IDM_OPEN
	END
END

3.在OnInitDialog()函数中添加菜单加载和处理程序；

BOOL CMyMenuFontDlg::OnInitDialog()
{
	CDialog::OnInitDialog();

	// 设置此对话框的图标。当应用程序主窗口不是对话框时，框架将自动
	//  执行此操作
	SetIcon(m_hIcon, TRUE);			// 设置大图标
	SetIcon(m_hIcon, FALSE);		// 设置小图标

	// TODO: 在此添加额外的初始化代码
    static HMENU hmenu;
	HWND hwnd = ::FindWindow(NULL, _T("MyMenuFont"));
	if(!hwnd)
	{
		TRACE(_T("ERR:%d\n"),GetLastError());
	}
	hmenu = ::GetMenu(hwnd); 
	ModifyMenu(hmenu, IDM_BOLD, MF_BYCOMMAND | 
		MF_OWNERDRAW, IDM_BOLD, (LPCWSTR)&myitem[0]); //设置自绘属性
	ModifyMenu(hmenu, IDM_ITALIC, MF_BYCOMMAND | 
		MF_OWNERDRAW, IDM_ITALIC,(LPCWSTR)&myitem[1]); 
	ModifyMenu(hmenu, IDM_ULINE, MF_BYCOMMAND | 
		MF_OWNERDRAW, IDM_ULINE, (LPCWSTR)&myitem[2]); 
	ModifyMenu(hmenu, IDM_FILE, MF_BYCOMMAND | 
		MF_OWNERDRAW, IDM_FILE,(LPCWSTR)&myitem[3]); 
	ModifyMenu(hmenu, IDM_OPEN, MF_BYCOMMAND | 
		MF_OWNERDRAW, IDM_OPEN, (LPCWSTR)&myitem[4]); 

	myitem[0].hfont = GetAFont(0); 
	myitem[0].psz = (LPSTR)_T("Bold"); 
	myitem[1].hfont = GetAFont(1); 
	myitem[1].psz =(LPSTR)_T("Italic"); 
	myitem[2].hfont = GetAFont(2); 
	myitem[2].psz =(LPSTR) _T("Underline"); 
	myitem[3].hfont = GetAFont(3); 
	myitem[3].psz =(LPSTR) _T("File"); 
	myitem[4].hfont = GetAFont(4); 
	myitem[4].psz =(LPSTR) _T("Open"); 
    return TRUE;  // 除非将焦点设置到控件，否则返回 TRUE
}
HFONT GetAFont(int fnFont) 
{ 
	static LOGFONT lf; 

	//获取ANSI固定间距字体的句柄
	GetObject(GetStockObject(ANSI_FIXED_FONT), sizeof(LOGFONT), &lf); 

	// 设置字体属性 
	if (fnFont == 0) 
		lf.lfWeight = FW_BOLD; 
	else 
		lf.lfWeight = FW_NORMAL; 

	lf.lfItalic = (fnFont == 1); 
	lf.lfItalic = (fnFont == 2); 
	lf.lfHeight = 20;
	lf.lfWidth = 50;

	return CreateFont(lf.lfHeight, lf.lfWidth, 
		lf.lfEscapement, lf.lfOrientation, lf.lfWeight, 
		lf.lfItalic, lf.lfUnderline, lf.lfStrikeOut, lf.lfCharSet, 
		lf.lfOutPrecision, lf.lfClipPrecision, lf.lfQuality, 
		lf.lfPitchAndFamily, lf.lfFaceName); 
} 

4.添加OnMeasureItem和OnDrawItem消息处理函数；

void CMyMenuFontDlg::OnMeasureItem(int nIDCtl, LPMEASUREITEMSTRUCT lpMeasureItemStruct)
{
	// TODO: 在此添加消息处理程序代码和/或调用默认值
	lpMeasureItemStruct->itemHeight = 35;
	lpMeasureItemStruct->itemWidth = 120;

	CDialog::OnMeasureItem(nIDCtl, lpMeasureItemStruct);
}

void CMyMenuFontDlg::OnDrawItem(int nIDCtl, LPDRAWITEMSTRUCT lpDrawItemStruct)
{
	// TODO: 在此添加消息处理程序代码和/或调用默认值
	static COLORREF crSelText;  // 选定项目的文本颜色         
	static COLORREF crSelBkgnd; // 选中的项目背景颜色  
	COLORREF crText;            // 未选定项目的文本颜色     
	COLORREF crBkgnd;           // 未被选中的项目背景颜色 
	WORD wCheckX;               // 可选的宽度                   
	int nTextX;                 // 菜单项宽度                 
	int nTextY;                 // 菜单项高度                                     
	HFONT hfontOld;             // 旧字体句柄                 
	BOOL fSelected = FALSE;     // 菜单项的选择标记
	size_t * pcch = new size_t;
	HRESULT hResult=0;   
	MYITEM *pmyitem;// 指向项目字体和字符串的指针   
	pmyitem = (MYITEM *) lpDrawItemStruct->itemData; 

	// 设置选中的菜单项字体颜色和背景
	if (lpDrawItemStruct->itemState & ODS_SELECTED) 
	{ 
		crSelText = RGB(255, 0, 0);
		crSelBkgnd = RGB(182, 189,210);
		crText = SetTextColor(lpDrawItemStruct->hDC, crSelText); 
		crBkgnd = SetBkColor(lpDrawItemStruct->hDC, crSelBkgnd); 
		fSelected = TRUE; 
	} 

	// 检索位图的宽度，并将其添加到菜单项的宽度中
	wCheckX = GetSystemMetrics(SM_CXMENUCHECK); //检索默认菜单勾选位图的宽度，以像素为单位
	nTextX = wCheckX + lpDrawItemStruct->rcItem.left; 
	nTextY = lpDrawItemStruct->rcItem.top; 

	//选择字体到菜单项的设备上下文中，然后绘制字符串

	hfontOld = (HFONT)SelectObject(lpDrawItemStruct->hDC, pmyitem->hfont);
	StringCchLength((LPCWSTR)pmyitem->psz,STRSAFE_MAX_CCH, pcch);
	if (FAILED(hResult))
	{
		delete pcch;
		return;
	} 
	ExtTextOut(lpDrawItemStruct->hDC, nTextX, nTextY, ETO_OPAQUE, 
		&lpDrawItemStruct->rcItem, (LPCWSTR)pmyitem->psz, 
		*pcch, NULL); 

	// 将之前的字体选择回设备上下文 
	SelectObject(lpDrawItemStruct->hDC, hfontOld); 

	// 返回文本和背景颜色的正常状态(未选中) 
	if (fSelected) 
	{ 
		SetTextColor(lpDrawItemStruct->hDC, crText); 
		SetBkColor(lpDrawItemStruct->hDC, crBkgnd); 
	} 
	delete pcch;

	CDialog::OnDrawItem(nIDCtl, lpDrawItemStruct);
}

源代码：MyMenuFont代码