How do I make a graphical popup menu from a layer set?
A graphical popup menu is just a graphical menu with a matching button or menu item to cause it to appear.
Thus to create a graphical popup menu you need a layer set whose layer name ends with the "-menu" hint containing at least one graphics layer whose name ends with the "-button" hint.
Here is a screenshot from a Photoshop document with 2 buttons that each trigger a popup menu:

Rolling over "graphical-button" will display the "graphical-menu" set when you are viewing the final page. Similarly "menus-button" will trigger the "menus-menu" set (currently hidden). In this case the buttons within the "-menu" sets are layer sets themselves containing the graphics for the buttons and rollover versions for them, but this is not necessary. They could be graphics or text layers with the "-button" hint instead of sets.
Click here to see the above menu in action on a web page (near the bottom)