OnClick event cannot be assigned if you set the Menu using SiteMap. NavigateUrl will not allow you to execute onMenuItem Click event.
HTML
<asp:Menu ID="Menu2" runat="server" OnMenuItemClick="Menu1_MenuItemClick" Orientation="Horizontal">
<LevelMenuItemStyles>
<asp:MenuItemStyle CssClass="main_menu" />
<asp:MenuItemStyle CssClass="level_menu" />
</LevelMenuItemStyles>
<Items>
<asp:MenuItem Text="HOME"></asp:MenuItem>
<asp:MenuItem Text="SERVICES">
<asp:MenuItem Text="Consulting"></asp:MenuItem>
<asp:MenuItem Text="Outsourcing"></asp:MenuItem>
</asp:MenuItem>
<asp:MenuItem Text="ABOUT"></asp:MenuItem>
<asp:MenuItem Text="CONTACT"></asp:MenuItem>
</Items>
</asp:Menu>
C#
protected void Menu1_MenuItemClick(object sender, MenuEventArgs e)
{
ScriptManager.RegisterClientScriptBlock(sender as Control, this.GetType(), "alert", "alert('" + e.Item.Text + "')", true);
}