First we need to create a new menu item by going to Menus > Main Menu > Add New Menu Item. Replace Main Menu with whichever menu you want to add this to.

What we need to create is called a Text Separator menu item. In Joomla 3.2 you get there under System Links > Text Separator.

Now after we create a nice dropdown menu and put another menu item underneath it, we can see what the menu looks like in Joomla. People won't be able to click the "Not A Link" item.
