That menu you see is what's known as a Mega Menu. There are third-party apps that you can connect to your store for this sort of functionality. A popular one in our app store is called Buddha Mega Menu. It is a feature-rich app that offers a wide variety of great features. Feel free to check out their app demo, here. There are a variety of other Mega Menu options in our app store that you can check out as well.
If there is anything else I can help you with, please let me know.