When processing the message to pop up the menu, you need to set the foreground window, then send a WM_NULL message after the menu popup.

procedure TForm .WndProc(var Msg : TMessage);
var
  p : TPoint;
begin
  case Msg.Msg of
    WM_USER +  :
    case Msg.lParam of
      WM_RBUTTONDOWN: begin
         SetForegroundWindow(Handle);
         GetCursorPos(p);
         PopupMenu .Popup(p.x, p.y);
         PostMessage(Handle, WM_NULL, 0, 0);
      end;
    end;
  end;
  inherited;
end;