Para criar um menu personalizado no Excel temos que usar o comando "CommandBar".

No exemplo abaixo você pode ver a utilização de um sub-menu, de um separador e também inserir ícones no seu menu.

Sub Menupersonalizado()
Dim cMenu1 As CommandBarControl
Dim cbMainMenuBar As CommandBar
Dim cbcCutomMenu As CommandBarControl
Dim cbcCutomMenux As CommandBarControl
    On Error Resume Next
        Application.CommandBars("Worksheet Menu Bar").Controls("Menu").Delete
    On Error GoTo 0
        Set cbMainMenuBar = Application.CommandBars("Worksheet Menu Bar")
        Set cbcCutomMenu = cbMainMenuBar.Controls.Add(Type:=msoControlPopup)
        cbcCutomMenu.Caption = "Menu"
        With cbcCutomMenu.Controls.Add(Type:=msoControlButton)
            .Caption = "Item1"
            .OnAction = "Macro1"
        End With
        With cbcCutomMenu.Controls.Add(Type:=msoControlButton)
            .Caption = "Item2"
            .OnAction = "Macro2"
        End With
        Set cbcCutomMenux = cbcCutomMenu.Controls.Add(Type:=msoControlPopup)
        cbcCutomMenux.Caption = "Sub-Menu"
        With cbcCutomMenux.Controls.Add(Type:=msoControlButton)
            .Caption = "Item3"
            .FaceId = 25
            .OnAction = "Macro3"
        End With
        With cbcCutomMenu.Controls.Add(Type:=msoControlButton)
            .BeginGroup = True
            .Caption = "Item4"
            .OnAction = "Macro4"
        End With
End Sub

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