You can't use the DNN UI to make a menu link non-clickable using the default DNN menu. You can, however, dive into the "TABS" table in the database, find the tab you wish to make non-clickable and set the "DisableLink" value to "1" (or "true" depending on your DB tool).  This is the mechanism used to make the "Host" and "Admin" root tabs non-clickable.
   
So...create the parent tab as a normal page, browse to that tab and make a note of the tabid value in the URL.  Update the TABS table with "disablelink = 1" where tabid = (your tabid value).  It's a simple change but if you don't know SQL and aren't familiar with DB management tools then you probably should grab a SQL-minded buddy to help out.
 
Cheers!
-mamlin