Depends on the menu you are inserting.
All three examples I gave you will work perfectly if paced on a
Dynamic Web Template, and this is attached to your pages. IMO this is
the best way.
The menu from
http://www.interlacken.com can be inserted into a
shared border, or better an include file, and the file included where
required. The JavaScript behind the behaviours will automatically be
created in the pages, though each page may have to be opened and
saved.
Jon Spivey's menu has JavaScript that will not automatically go into
the <head> section of the pages unless you use a DWT. For this menu,
all the JavaScript in the <head> section of the page you have created
the menu must be copied into every other page.
The all CSS menu requires a line similar to
<link rel="stylesheet" type="text/css" href="rxsclass.css"> to be
placed in the <head> of every page, where rxsclass.css is the name
given to the file containg the CSS.