HMENU hMenu = CreatePopupMenu();

InsertMenu( hMenu, 
     ...

GetCursorPos(&pt); 
TrackPopupMenu(hMenu, NULL, pt.x, pt.y, 0, hwnd, NULL); 

PostMessage(hwnd, WM_NULL, 0, 0);

To display a context menu for a notification icon, the current window must be the foreground window before the application calls TrackPopupMenu or TrackPopupMenuEx. Otherwise, the menu will not disappear when the user clicks outside of the menu or the window that created the menu (if it is visible). However, when the current window is the foreground window, the second time this menu is displayed, it displays and then immediately disappears. To correct this, you must force a task switch to the application that called TrackPopupMenu. This is done by posting a benign message to the window or thread, as shown in the following code sample[..]

http://msdn2.microsoft.com/en-us/library/ms648002.aspx