I know that there are properties can effect figure's menu. For
example, MenuBar,UIContextMenu. But I want to know how to modify
build in menus, to change their action. When I click File->Open,
it execute a function written by me.
Thanks in advance!

In GUIDE there should be an option called 'Menu Editor'. You can
change the structure and format of the menu's here.
To change the actions of each menu option you need to modify the code
contained in the associated callback in the M-script.
Hope this helps
Iain