Perfect, thanks Diggsey. I've never used the windows API before because I've never used C++ without darkGDK, but if anyone wants to see the code here it is:
// Create the menubar
HMENU MenuBar = CreateMenu( );
InsertMenu( MenuBar, 0, MF_STRING, 0, "File" );
// Add the menubar to the DarkGDK window
HWND WindowHandle = GetActiveWindow( );
SetMenu( GetActiveWindow( ), MenuBar );
DrawMenuBar( WindowHandle );
// Set the window to clip directX render space
SetWindowLongPtr( WindowHandle, GWL_STYLE, GetWindowLong( WindowHandle,GWL_STYLE)|WS_CLIPCHILDREN );
// Reposition the window to force update
SetWindowPos( WindowHandle, HWND_TOP, 0, 0, 1024, 768, SWP_DRAWFRAME );