All of the UI-based widgets in the jQuery UI library—and the menu widget is no different—can be customized using either one of the prebuilt themes available from http://jqueryui.com/download/ or by customizing one using the ThemeRoller tool available at http://jqueryui.com/themeroller/. All you need to do is to download your theme, and then alter the following line in the code, to reflect the name of the new theme in use:
<link rel="stylesheet" href="development-bundle/themes/redmond/jquery.ui.all.css">
You can even change to using a theme hosted on a CDN connection, if preferred. The key to this is to choose whichever best suits your development workflow and environment.