A nested menu is simply a menu that leads to another menu. You've seen this often on commercial DVDs; a menu leads from the main film to the bonus area where you normally find cut scenes, trailers, and perhaps interviews with the cast.
Creating a nested menu inside Liquid Edition is just a matter of adding another menu to the Timeline and then creating some extra links. However, the trick is to place the nested menu at the end of the Timeline, beyond the point where your project finishes.
To insert a new menu