I think you may be reading the topic below this one, the one about a slow favorites menu. You want the topic about the missing menu.
Here's what the link
http://kmeleon.sourceforge.net/docs/faq.php#trouble2
says about the missing menu problem:
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 "50comupd" Common Control Library from Microsoft:
http://www.microsoft.com/msdownload/ieplatform/ie/comctrlx86.asp
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I run KM 0.6 under ROMified Win98. After I downloaded and installed this update, the KM menus were fine. Give it a try.