Actually those are 2 different things.
The menu is used like you said for the tool bar at the top of the window (File, Edit, View)
The JComboBox is for selecting one or multiple items from a list. Like when you enter your age and you have a drop down list with all the months so you can select one.
Yes, sorry if i want clear!
When the OP said "drop down menu" I thought of the top of the window tool bar, (which I allways called a drop down menu) and when I typed them into google expecting to get javas tutorial on window tool bars it came up with the one for JComboBox, thus my first thought of "damnit, dont these people ever use google!" was wrong if he thought drop down menus were MenuBars, not JComboBoxes... get what I mean???
In short, yes. There's Swing, it's big, and you have to learn how to use it if you want to do this sort of thing. You can also use the older awt, but that's a little ugly. Or if you're hard-core you can use the awt stuff to roll your own windowing system, but there's really no reason to do that unless you're just feeling ballsy today.