After google'ing half an hour, I finally realized it just simply does not work. The "menu" button on Apple remote does not have any functionality when work with iPod.
Just check Apple online store, the remote is rated 2 out of 5 by 171 reviews. Among the 10 reviews on the first page, 9 of them are complaining about this flaw. I am ok with the flaw of a product, since we all make mistake. I am even ok with getting ripped off , since I don't usually research much before I buy. What I am not ok with is, after all these complaining, Apple still didn't make it clear on their website, or in any other form.
"The Apple Remote offers play/pause, volume control and forward/back buttons. "
Nice wording, guys, leave out what it doesn't do. Come on, it is only $30. You don't expect to double the revenue just by selling a couple more of this. Plus, even you tell everyone about this problem with iPod, those who have an iMac are still going to buy the remote.
I have always thought that Apple knows how to build the image. But this move ...