Stop menu closing when clicked Im a new OSX user, and coming from Windows if I click a menu item which has a child popout menu I expect it to open the child not close the whole menu.

This seems to be system wide This seems to be within the main menu bar and not context menus, is there a setting I can change to stop the click closing the menu?
No, there is no such setting. If it existed, it would most probably be in System Preferences > Appearance.

However, this behavior seems to depend on the application. On my 10.6 system, the Finder and iTunes indeed present it, but iCal, Mail and Safari don't.

I unfortunately have no idea as to the root cause for this difference, and which programs might behave in which way.