As the link gives you an other link to a bloog and there a project in Codplex, a nice project but rather hard to get the information you need. Nice video too but there is no information of the UL. In the code however you can find the information.
So I will try to give you my findings. You need to install the webcontrol from codeplex. So up to today no DNN version is shipped with the code. If this happens nobody knows and nobody use to tell if it will be in a new release. It is just to look at the dll and figure out what version it is.
Some functions is not implemented in the core, in this case the support for CustomAttributes so you have to use the ascx method when skinning.
Thats the bad part. The good part is that the menu is nice.
How do you do then...
You have to add this line
TagPrefix="dnn" Namespace="DotNetNuke.UI.Skins" Assembly="DotNetNuke"
And this is the code
<dnn:NAV runat="server" id="dnnNAV" ProviderName="DNNMenuNavigationProvider" IndicateChildren="false" ControlOrientation="Horizontal" CSSControl="mainMenu">
<dnn:CustomAttribute Name="RenderMode" Value="UnorderedList"/>
And you get a UL menu.