That menu only changes which user agent string is transmitted by Safari. This means you can, say, fool an artificially IE-only website into displaying because its javascripts (or whatever) think you're browsing on IE.
In order to display a page as IE would display it, Safari would need to use (and therefore include, or at least link against) IE's render engine, Trident. Same with using a Firefox user agent; it'll appear to the server to be a Firefox browser, but Safari will still be doing the actual rendering with WebKit. All that's changing is a string of text.