Hi there,
the example site you provided is using page hierarchy ie, Parent pages and Child Pages.
So for example, all sub menu pages in your primary navigation need to be a chid of its parent.
e.g
Parent: Information
Child 1: Cardiac Arrest
Child 2: Practical Issues
Child 3: Sequelae
Likewise each Child would also be a parent….
The sidebar menu plugin requires this kinda setup. And it also means that WP will output the necessary hierarchical classes for each menu item and if you add a breadcrumb it will show the correct trail.