It'not as difficult as it seems.
Firstly, the menus themselves arn't animated, they just fade in and out. If you right-click a menu, select properties-appearance then look at the 'animation' and 'alpha-blending'
settings, you will see how this is done.
It is the objects above the menus that are animated. If you right-click the object (in this case a screw thread), and select appearance you will see what bitmap I used.It's a series of bitmaps joined together.You then have to again go to 'animation' which sets the number of frames. You can read up on this here:
https://www.stardock.com/products/desktopx/tutorial.html