Later in this chapter, one of the recipes explains how to create a split button from the scratch. This recipe is fairly similar to that one, and I will show you how to create a simple menu button control.
A typical menu button control and associated drop-down menu is shown in the following screenshot, taken from Microsoft Dynamics AX application:
Start your Expression Blend 4 and then select New project... From the dialog that appears select WPF and then WPF Application, make sure that Language is set to C# and Version is 4.0. At the end hit OK.