Go to Appearance → Menus there should be a section labeled Links on the left. If it’s not there, click the Screen Options tab in the upper right corner of the screen, check the box for Links, and it should then appear. Then all you need to do is create a Links menu item, setting the URL to #
By inserting # in the URL box you are creating a link that will not go to a URL but rather show the drop down menu. The drop down menu items should then be clickable.