To create a menu in the advanced one, you must fill it in under iPXE General Configuration -> Advanced Menu Settings > Advanced Menu Commands
example:
:urls
set msdart-url http://192.168.1.155/2-MSDART
:MENU
menu
colour --rgb 0xff0000 0 ||
cpair --foreground 1 1 ||
cpair --foreground 0 3 ||
cpair --foreground 4 4 ||
item --gap -- -------------------------------------
item fog.local Boot from hard disk
item msdart6x86 Microsoft DaRT for Windows Vista 32bit
item msdart6x64 Microsoft DaRT for Windows Vista 64bit
item msdart7x86 Microsoft DaRT for Windows 7 32bit
item msdart7x64 Microsoft DaRT for Windows 7 64bit
item msdart81x86 Microsoft DaRT for Windows 8.1 32bit
item msdart81x64 Microsoft DaRT for Windows 8.1 64bit
item fog.return Return to previous menu
choose --default fog.local --timeout 5000000 target && goto ${target}
:fog.local
sanboot --no-describe --drive 0x80 || goto MENU
:msdart6x86
initrd ${msdart-url}/MSDaRT60x86.iso
chain memdisk iso raw
:msdart6x64
initrd ${msdart-url}/MSDaRT60x64.iso
chain memdisk iso raw
:msdart7x86
initrd ${msdart-url}/MSDaRT70x86.iso
chain memdisk iso raw
:msdart7x64
initrd ${msdart-url}/MSDaRT70x64.iso
chain memdisk iso raw
:msdart81x86
initrd ${msdart-url}/MSDaRT8.1x86.iso
chain memdisk iso raw
:msdart81x64
initrd ${msdart-url}/MSDaRT8.1x64.iso
chain memdisk iso raw
:fog.return
chain http://${fog-ip}/${fog-webroot}/service/ipxe/boot.php?mac=${net0/mac} ||
prompt
goto MENU