How to make a website with a menu that doesn't move?

I am working on a site and I think that it would look much better if it had one of those menu side things that doesn't move (Look at this site to see what I mean, scroll up and down, http://www.omnigroup.com/applications/omniweb/ )

I have done a basic web design course and I can do simple coding, so Java script is ok but nothing too complex would be helpful. Also the web program I’m using is Dreamweaver CS3

If any of you know and sites that might help or have done it please post.