It only works at two levels max. And if you have categories with no posts (empty categories) that are subcategories, it makes the menu not display correctly. And it only works properly, really, on left sidebars. And it sorts categories by alpha only right now. And to change any options at the moment you have to go into code.
It adds in links to CSS and JS stuff but it's based on a default install with path to wp-content/plugins/vmenu. Please don't change that.