If you want to remove the categories or other entities from the componentart dropdown menu, you would just remove
Code:
<item Text="(!menu.Categories!)" LookId="TopItemLook" />
line from the menudata.xml file. That would work for any of the entity menus.
If you actually wanted to modify the content of the menus, you would need to hook the menu up to a new datasource in templatebase.cs. The PageMenu object takes an XML document (obviously) which we build dynamically off of entity helper data within templatebase. You could theoretically hook the menu up to any datasource you wanted, whether it is static or generated dynamically (an xml package would do, or C# 3.0 has some really nice new capabilities for programmatically working with XML).
!menu.entityname! is simply a string resource, controllable via the admin site.