How to prevent a context menu from closing when a MenuItem is clicked
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To prevent the context/popup menu from closing while clicking on a menu item the CloseOnClick property has to be set as False.

C#
this.popupMenu1.ParentBarItem.CloseOnClick = false;
VB
Me.popupMenu1.ParentBarItem.CloseOnClick = False

Sample:

http://websamples.syncfusion.com/samples/KB/Tools.Windows/TClose/main.htm
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