ok, all the menu item in the Apple menu does is launch the application System Preferences.app that normally lives in the Applications folder. It will launch that application wherever it lives, actually, but no one normally moves it.
if you have no System Preferences application in your applications folder, that that means that:
- you (or someone) has moved it
- you (or someone) has deleted it
- your hard disk is dying or your system is compromised
If you do have the System Preferences app somewhere, then you most likely have a permissions problem.
Normally I would suggest that you reinstall the system from the install DVD (or if you are on Lion, use the Lion recovery partition), but in this case you should verify the disk first. open Disk Utility (located in the Utilities folder of the Applications folder) and run verify or repair to see if the diskj checks out.