Use the $style identifier, e.g.
Code:
$style(1) moo:echo moo!

Would make an item called "moo" with a check next to it.

From the mIRC helpfile:
Menu Styles

You can place a check mark or create a disabled menu item by using the $style(N) identifier, where N = 1 for checked, N = 2 for disabled, and N = 3 for both. The $style(N) identifier must be the first word in the menu definition.

menu status {
$iif($server == $null,$style(2)) Server Info
.Motd:/motd
.Time:/time
}

The above definition creates a submenu in your status window popup which is only enabled when you are connected to an IRC server.