Well, that might be the problem. Your not supposed to click it.

It just opens when you move your mouse over it. vBulletin menus just open once you've already opened a window. For example, try opening a regular drop down, and you'll notice when move your mouse over any of the other ones, they open and close without clicking. If you click them, you close it again.
That's what's been happening here. Just mouse over the menu like you would any other kind of drop down menu, and the sub menu will automatically open. If you try to click it, your just going to turn the menu off.