Só para mostrar a solução.

public partial class Frm_MenuFlutuante : Form
    {
        public Frm_MenuFlutuante()
        {
            InitializeComponent();
        }

        ToolStripMenuItem DesenhaItemMenu(string text)
        {
            var vToolTip = new ToolStripMenuItem();
            vToolTip.Text = text;

            return vToolTip;
        }

        ToolStripMenuItem DesenhaSubItemMenu(ToolStripMenuItem menuPrincipal, string _subMenu)
        {
            menuPrincipal.DropDownItems.Add(_subMenu);

            return menuPrincipal;
        }

        private void Frm_MenuFlutuante_MouseDown(object sender, MouseEventArgs e)
        {
            if (e.Button == System.Windows.Forms.MouseButtons.Right)
            {
                var _posicaoX = e.X;
                var _posicaoY = e.Y;

                //MessageBox.Show("Botão direito na Posição:" + " X: " + _posicaoX.ToString() + " Y: " + _posicaoY.ToString()); ;

                var ContextMenu = new ContextMenuStrip();

                ToolStripMenuItem Menu_01 = DesenhaItemMenu("Item do Menu 01");
                ToolStripMenuItem Menu_02 = DesenhaItemMenu("Item do Menu 02");
                ToolStripMenuItem Menu_03 = DesenhaItemMenu("Item do Menu 03");

                ContextMenu.Items.Add(Menu_01);
                ContextMenu.Items.Add(DesenhaSubItemMenu(Menu_01, "Item do SubMenu 01"));
                ContextMenu.Items.Add(DesenhaSubItemMenu(Menu_01, "Item do SubMenu 02"));
                ContextMenu.Items.Add(Menu_02);
                ContextMenu.Items.Add(Menu_03);

                ContextMenu.Show(this, new Point(_posicaoX, _posicaoY));
            }
        }
    }