You actually only need the menu once, to set the "spread" or the size of the steps you want to be able to select i.e. 1/2 stop, 1/3 stop etc. and to set whether you want the bracket fired when holding down the shutter or after just one shutter press.
After that, it is all done with hard switches on your K20D body.
1: Use the bracket button on top of the camera, slightly to the left of the viewfinder window. The button has something like 3 little rectangles in different shades of grey on it.
2. While holding the bracket button down, use the front selection wheel(dial) to alternate between OFF|3 shots bracket|5 shots bracket
3. Don't forget to reset to OFF when you are done or you will be bracketing forever!
K20D Manual: page 129