If you’re using BP-Default, you’ll have to edit your theme’s header.php and take out the links, etc. In the next version of BuddyPress (1.3), you’ll be able to create the menus like this easily.
@CSDV
Or you could try a theme that already has that type of menu feature built-in. Two such themes come to mind right off the bat:
Custom Community: http://themekraft.com/theme/custom-community/
BuddyLite: http://buddylite.com/buddylite-basic/
If you search Google for Buddypress themes, you`ll likely find many more