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// Copy /modules/mod_menu/tmpl/default.php to /templates/MYTEMPLATE/html/mod_menu/default.php

// Around line 34, find:
   if ($item->deeper) {
      $class .= 'deeper ';
   }

// Replace this with:

   $currentitemcount ++;
   if ($item->shallower or $currentitemcount == count($list)) {
      $class .= 'last ';
   }
   
   if ($lastdeeper or $currentitemcount == 1) {
      $class .= 'first ';
   }
   
   
   if ($item->deeper) {
      $class .= 'deeper ';
      $lastdeeper = true;
   } else {
      $lastdeeper = false;   
   }