Having said that, there are a number of things you can do to improve your code even more.
1. Follow standard naming conventions.
Java method names do not normally contain underscores. The sole exception to this in my own code is when I write
unit tests. My unit test methods have underscores because they tend to be longer than normal method names and I found underscores makes them more readable. Otherwise, method names are written in camel case, starting with a lowercase letter.
2. Don't be redundant with your names. The "_MenuSetUp" and "_MenuItemSetUp" parts of the names are redundant with the declared return types. See the alternative below. Doesn't that look cleaner? When you read the code, is there any doubt that help() is a JMenu and that about() and credits() are JMenuItem objects?