I copied from boook in .net 2002 and tired to run .net2005

Here is the code

Public Class frmMenuEjecucion
    Inherits System.Windows.Forms.Form

#Region " Código generado por el Diseñador de Windows Forms "

    Public Sub New()
        MyBase.New()

        'El Diseñador de Windows Forms requiere esta llamada.
        InitializeComponent()

        'Agregar cualquier inicialización después de la llamada a InitializeComponent()

    End Sub

    'Form reemplaza a Dispose para limpiar la lista de componentes.
    Protected Overloads Overrides Sub Dispose(ByVal disposing As Boolean)
        If disposing Then
            If Not (components Is Nothing) Then
                components.Dispose()
            End If
        End If
        MyBase.Dispose(disposing)
    End Sub

    'Requerido por el Diseñador de Windows Forms
    Private components As System.ComponentModel.IContainer

    'NOTA: el Diseñador de Windows Forms requiere el siguiente procedimiento
    'Puede modificarse utilizando el Diseñador de Windows Forms. 
    'No lo modifique con el editor de código.
    Friend WithEvents btnAgrega As System.Windows.Forms.Button
    Friend WithEvents btnNuevo As System.Windows.Forms.Button
    Friend WithEvents btnClonar As System.Windows.Forms.Button
    Friend WithEvents btnElimina As System.Windows.Forms.Button
    <System.Diagnostics.DebuggerStepThrough()> Private Sub InitializeComponent()
        Me.btnAgrega = New System.Windows.Forms.Button
        Me.btnNuevo = New System.Windows.Forms.Button
        Me.btnElimina = New System.Windows.Forms.Button
        Me.btnClonar = New System.Windows.Forms.Button
        Me.SuspendLayout()
        '
        'btnAgrega
        '
        Me.btnAgrega.Location = New System.Drawing.Point(40, 216)
        Me.btnAgrega.Name = "btnAgrega"
        Me.btnAgrega.Size = New System.Drawing.Size(120, 23)
        Me.btnAgrega.TabIndex = 0
        Me.btnAgrega.Text = "&Agrega Menu"
        '
        'btnNuevo
        '
        Me.btnNuevo.Location = New System.Drawing.Point(208, 216)
        Me.btnNuevo.Name = "btnNuevo"
        Me.btnNuevo.Size = New System.Drawing.Size(120, 23)
        Me.btnNuevo.TabIndex = 1
        Me.btnNuevo.Text = "&Nuevo Elemento"
        '
        'btnElimina
        '
        Me.btnElimina.Location = New System.Drawing.Point(376, 216)
        Me.btnElimina.Name = "btnElimina"
        Me.btnElimina.Size = New System.Drawing.Size(120, 23)
        Me.btnElimina.TabIndex = 2
        Me.btnElimina.Text = "&Elimina Elemento"
        '
        'btnClonar
        '
        Me.btnClonar.Location = New System.Drawing.Point(208, 134)
        Me.btnClonar.Name = "btnClonar"
        Me.btnClonar.Size = New System.Drawing.Size(120, 23)
        Me.btnClonar.TabIndex = 3
        Me.btnClonar.Text = "&Copia Menu"
        Me.btnClonar.UseVisualStyleBackColor = True
        '
        'frmMenuEjecucion
        '
        Me.AutoScaleBaseSize = New System.Drawing.Size(5, 13)
        Me.ClientSize = New System.Drawing.Size(520, 273)
        Me.Controls.Add(Me.btnClonar)
        Me.Controls.Add(Me.btnElimina)
        Me.Controls.Add(Me.btnNuevo)
        Me.Controls.Add(Me.btnAgrega)
        Me.Name = "frmMenuEjecucion"
        Me.Text = "Demo Menú"
        Me.ResumeLayout(False)

    End Sub

#End Region

    Private Sub btnAgrega_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btnAgrega.Click
        'Definiendo nuevo menu
        Dim NuevoMenu As New MainMenu()
        'Definiendo elementos del MainMenu
        Dim ElementoUno As New MenuItem("&Archivo")
        Dim ElementoDos As New MenuItem("A&yuda")

        'Asignando subelementos a las opciones del MainMenu
        Dim Opcion1 As New MenuItem("Salir")
        Dim Opcion2 As New MenuItem("Mensaje")
        'Estableciendo el procedimientoa ejecutarse al hacer click
        AddHandler Opcion1.Click, AddressOf Me.Opcion1_Click
        AddHandler Opcion2.Click, AddressOf Me.Opcion2_Click

        'Asignando Opcion1 a Elemento Uno 
        ElementoUno.MenuItems.Add(Opcion1)

        'Asignando Opcion2 a Elemento Dos
        ElementoDos.MenuItems.Add(Opcion2)

        'Asignando Elementos al MainMenu
        NuevoMenu.MenuItems.Add(ElementoUno)
        NuevoMenu.MenuItems.Add(ElementoDos)

        'Asignando NuevoMenu al formulario
        Me.Menu = NuevoMenu

    End Sub

    Private Sub btnNuevo_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btnNuevo.Click
        'Creando un nuevo elemento
        Dim NuevaOpcion As New MenuItem("Abrir")

        'Asignando MenuItem al NuevoMenu
        Me.Menu.MenuItems(0).MenuItems.Add(NuevaOpcion)

    End Sub

    Private Sub btnElimina_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btnElimina.Click
        Me.Menu.MenuItems(0).MenuItems.RemoveAt(1)
    End Sub

    Private Sub Opcion1_Click(ByVal sender As System.Object, ByVal e As System.EventArgs)
        Me.Close()
    End Sub
    Private Sub Opcion2_Click(ByVal sender As System.Object, ByVal e As System.EventArgs)
        MsgBox("Este es un mensaje de prueba")
    End Sub

    Private Sub btnClonar_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btnClonar.Click
        Dim MenuContextual As ContextMenu
        MenuContextual = New ContextMenu()
        MenuContextual.MenuItems.Add(Me.Menu.MenuItems(1).CloneMenu())
        btnClonar.ContextMenu = MenuContextual
    End Sub
End Class

Thnak you in advance