Try using the inline event handler assignment within the asp:Menu tag like:
<asp:Menu OnMenuItemClick="MenuEventHandler" />
or you can just do that inside your code behind .vb or .cs like:
menu.OnMenuItemClick += Menu_MenuItemClick;
private void Menu_MenuItemClick(Object sender, EventArgs e)
{
}
Note: The code above is a C# code. You can make use of
AddHandler for VB, to attach an event handler in code.