A quick guide for a default system skin - Ferox:

1. Open "SYS:MorphOS/Prefs/Skins/Ferox"
2. Find "SkinConfig" file, right-click on it and choose "Edit"
3. Find MENUTRANSPARENCYLEVEL (should be 25) and change it to 0

If you're using an external skin, you should be able to find it in SYS:Prefs/Skins