This is how you remove the News Archive link from the primary level in the Main Menu and show it as a sublevel link:
To edit the Main Menu contents, navigate to Menus | Main Menu.
Click on the title of the item you want to edit, News Archive.
In the Details section, the Parent Item is set to Menu Item Root. This indicates it's a top level link. Change the Parent Item to News:
Click on Save & Close. In the list of menu items in the Menu Manager, the new sublevel menu item is shown indented:
To make sure the menu will display sublinks as intended, let's check a setting of the current menu module. Go to Extensions | Module Manager. In the Select Type drop-down list, select Menu. Click on the This Site menu module to edit it.
Click on the Options tab and under Basic Options, check if End Level is set to All. This indicates all submenu levels will be displayed. Leave Show Sub-menu Items set to No, unless you want to always display the submenu items...