As root, open the /usr/share directory. There you should find a directory called /applnk, copy the Settings folder to your /home/you/.kde/share/applnk-mdk directory.
You shouldn't have this problem when upgrading to KDE3. If you do, just copy the Settings folder from the /opt/kde3/share/applnk-mdk directory to your /home/you/.kde/share/applnk-mdk directory.
Linux is in the process of adapting to the LSB (linux standard base), a group wich is trying to achieve distro independent standards which will make it easier for Independent Software Vendors (ISV's) to write software for linux without having to worry whether their software wil run on the 250 plus versions of Linux. Not sure where I'm going with this but this is a great thing for Linux, it's said that one of the reasons that Unix did not achieve a greater level of success is because Unix became very fragmented and it could have benefited greatly from a unified set of standards.
Anyway, to make a long story short, KDE3 global menu settings are now located in the /opt/kde3/share/applnk-mdk directory whereas KDE2 files were scatered all over the /usr directory. User menu settings are still located in the /home/you/.kde/share/applnk-mdk.