A while ago I submitted this as a feature request, so lets hope it's included in Macro Express 4. For the time being, you need to set a sequence of keystrokes to select the menu item. If the menu item does not have a Alt shortcut, I usually use the arrow keys to move to it.
Edit:
You could also run a AutoIT script to directly select a menu item, something like this:
<REM2:Put a linefeed in T95><ASCIIC:95:1:13><ASCIIC:96:1:10><TVAR2:95:01:%T95%%T96%><REM2:><REM2:Launch notepad><LAUNCHDEL2:1:00C:\WINDOWS\notepad.exe><WAITWIN2:000010:000000:Untitled - Notepad><REM2:><REM2:Set window title><TVAR2:01:01:Untitled - Notepad><REM2:><REM2:Set menu title><TVAR2:02:01:F&ormat><REM2:><REM2:Set menu item><TVAR2:03:01:&Font...><REM2:><REM2:Create the autoit script><TVAR2:04:01:#NoTrayIcon%T95%AutoItSetOption ("WinTitleMatchMode", 2)%T95%WinMenuSelectItem("%T1%", "", "%T2%", "%T3%")><TMVAR2:17:04:00:000:000:C:\Directly select menu item.au3F><REM2:><REM2:Run the autoit script><LAUNCHDEL2:1:00C:\Program Files\AutoIt3\AutoIt3.exe<PARAM>"C:\Directly select menu item.au3"><REM2:><REM2:Delete and autoit script><DOFILE:08:NN:C:\Directly select menu item.au3>>