My apologies..
In the end of the Readme-file you can read the following:
The text menus don't display when K-Meleon starts.
Users with Windows95 and versions of Internet Explorer older than 5.0 need to download and install the Common Control Library from Microsoft:
http://www.microsoft.com/msdownload/ieplatform/ie/comctrlx86.asp
My question is, why doesn't the FAQ say anything about this?