It's mainly of these two things:
1.) You haven't copied the sdmenu.js 
2.) You miss this one:
Code:
<script type="text/javascript" src="sdmenu/sdmenu.js">
/***********************************************
* Slashdot Menu script- By DimX
* Submitted to Dynamic Drive DHTML code library: http://www.dynamicdrive.com
* Visit Dynamic Drive at http://www.dynamicdrive.com/ for full source code
***********************************************/
</script>
<script type="text/javascript">
// <![CDATA[
var myMenu;
window.onload = function() {
myMenu = new SDMenu("my_menu");
myMenu.init();
};
// ]]>
</script>
This will aide
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