This is a known problem with TrackPopupMenu. The cure is simple, though somewhat obscure. Immediately before you call TrackPopupMenu, make a call to SetForegroundWindow for your menu's owner window. Then immediately after the call to TrackPopupMenu, post the same window a WM_NULL message. Bizarre, but it works. Look at this sample code:

HMENU hQuick = ::GetSubMenu (m_hUtility,
                             IDM_QUICK);
                             POINT CurPos ;
GetCursorPos (&CurPos);
SetForegroundWindow (); // Bodge
TrackPopupMenu (hQuick,
                TPM_LEFTBUTTON,
                CurPos.x,
                CurPos.y,
                0,
                GetSafeHwnd(),
                NULL);
PostMessage (WM_NULL, 0, 0); // Bodge