Modifiquei o seu exemplo e funcionou aqui , de uma olhada:
importjavax.swing.JFrame;importjavax.swing.JMenuBar;importjavax.swing.JMenu;importjavax.swing.JMenuItem;importjavax.swing.JPanel;importjava.awt.Dimension;importjavax.swing.JButton;publicclassTesteMenu{publicTesteMenu(){JFramemyFrame=newJFrame();//creates JFramemyFrame.setBounds(0,0,800,600);myFrame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);JButtonbotao=newJButton("OK");botao.setPreferredSize(newDimension(100,50));JPanelpanel=newJPanel();JMenuBarbar=newJMenuBar();//creates the bar of menusJMenuaddMenu=newJMenu("Menu");JMenuItemmenuitem=newJMenuItem("Primeiro item");addMenu.add(menuitem);// bar.setPreferredSize(new Dimension(200,20));bar.add(addMenu);myFrame.setJMenuBar(bar);//myFrame.add(bar);panel.add(botao);myFrame.add(panel);myFrame.setVisible(true);}publicstaticvoidmain(Stringargs[]){TesteMenutestemenu=newTesteMenu();}}