The "World" menu is shown when the user clicks the primary mouse button (Red button) anywhere on the desktop (outside of a window) in Morphic.
The World menu contains a number of useful submenus, and is the starting point for a lot of globally-accessible functionality in Squeak.
World menu in version 2.5 (MVC)
World menu in version 3.8
World menu in version 4.4
World menu in version 5.0
In terms of implementation, an instance of the class TheWorldMenu is shown when clicking on the desktop.
Note that the desktop object is actually an PasteUpMorph instance. You may access it in code if you evaluate Project current world.
A similar menu also appears in MVC when clicking on the desktop, although it's a bit smaller than the World menu in Morphic.