How do I make a dropdown with sub-items under a menu link?

Go to Settings → Appearance → Layout Settings and open the Menu tab.

1. In Select a menu to edit, pick your header menu (usually Primary Menu).
2. Add the parent link (Women) and the child links from Add menu items, using Add to Menu.
3. Under Menu Structure, expand each child and set Parent (submenu of) to the parent. The child then shows a sub item label.
4. Click Save Menu.

One level of sub-items is supported. The nesting isn't saved until you click Save Menu.