class Menu{
    public int Section {get; set;}
    public string Parent {get; set;}
    public string Name {get; set;}
    public string Url {get; set;}
    /* more */
}

ILookup<int, ILookup<string, Menu>> MenuStructure =
         menuList.ToLookup(m => m.Section, menuList.ToLookup(m => m.Parent));

ILookup<int, ILookup<string, Menu>> MenuStructure =
        menuList.GroupBy(m => m.Section).ToLookup(g => g.Key, v => v.ToLookup(m => m.Parent));

using System;
using System.Collections.Generic;
using System.Linq;

public class Program
{
    class Menu {
      public int Section {get; set;}
      public string Parent {get; set;}
      public string Name {get; set;}
      public string Url {get; set;}
    }

    public static void Main()
    {
        var menuList = new List<Menu>();

        ILookup<int, ILookup<string, Menu>> MenuStructure =
             menuList.GroupBy(m => m.Section).ToLookup(g => g.Key, v => v.ToLookup(m => m.Parent));
    }
}