Создаю менюшку

g_hMenu = ::CreatePopupMenu();
MENUINFO mi = {0};
mi.fMask = MIM_STYLE;
mi.dwStyle = MNS_DRAGDROP;
::SetMenuInfo( g_hMenu, &mi );
::AppendMenu( g_hMenu,...
::AppendMenu( g_hMenu,...

потом обработчик в проиемном окне

MESSAGE_HANDLER(WM_MENUDRAG, OnMenuDrag)
...
LRESULT OnMenuDrag(UINT /*uMsg*/, WPARAM /*wParam*/, LPARAM /*lParam*/, BOOL& /*bHandled*/)
{
o    return MND_CONTINUE;   // breakpoint!!!
}

вызываю менюшку

LRESULT OnOK(WORD /*wNotifyCode*/, WORD wID, HWND /*hWndCtl*/, BOOL& /*bHandled*/)
{
    POINT stPoint;
    ::GetCursorPos( &stPoint );
    ::TrackPopupMenu( g_hMenu, TPM_LEFTALIGN|TPM_LEFTBUTTON, stPoint.x, stPoint.y, this->m_hWnd );
    ::SetForegroundWindow( this->m_hWnd );
    SendMessage( WM_NULL,0,0);
    return 0;
}

И НЕТУ НА БРЭЙКПОИНТЕ НИЧЕГО!!! :((