|Are you really using menus (i.e. CMenu, ... ) ??? or are you talking about something else ?
If using menus, split the menus into sub menus of companies and models; that will probably help.
IMO, menus are not designed to do this kind of interaction.
My suggestion would be to have (at least) 2 list box side-by-side, first one on the left would be the car manufacturer, and the one on the right would be the car models which is dependent on the manufacturer.
- first list is filled with car manufacturer; second list is empty.
- user selects car manufacturer; second list is filled with car models.
- user selects car model on the second list.
You can also add some more UI to select the car manufacture year.
You can also add behaviour so that the user could start type the car manufacturer and/or model to automatically scroll to the appropriate item in the list.