Because they've set the demo to go to # which is just the page they are on.
I have to check a little deeper but links arent working on their demo page for me
Change href="where you want".
<a title="Menu" href="#"><img src="img/1.jpg" alt="Menu"/></a>
But it's broken in my browser (Create a Scrolling Menu: Result) because they've made the scroller taller than my screen (or, hidden page overflow), meaning I can never reach the bottom. Guess they expect everyone to have a ginormous AppleCinema screen or something.
I've used the jQuery SmoothScroll thingie which is for horizontal scrolling, but I figure left and right can be substituted for top and bottom. I had to add a bunch of extra code to make it accessible without JS (the way Create a Scrolling Menu is without JS) and had to redo the buttons (which you don't need to use), but after that it worked pretty well. Since it doesn't limit its events to mouse, it'll also start scrolling onload. It's practically guaranteed to annoy your visitors quite well.