Vista - ContextMenu Does Not Work?

Why doesn't the following sample code work? The click event never
seems to fire for the menu items. Similar code works for the
ContextMenuStrip class but I need the modal nature of ContextMenu.

private void ShowContextMenu()
{
using (ContextMenu menu = new ContextMenu())
{
menu.MenuItems.Add("Test1", new EventHandler(MenuItemClicked));
menu.MenuItems.Add("Test2", new EventHandler(MenuItemClicked));
menu.MenuItems.Add("Test3", new EventHandler(MenuItemClicked));

menu.Show(this, new Point(0, 0));
}
}
private void MenuItemClicked(object sender, EventArgs e)
{
MenuItem item = (MenuItem)sender;
MessageBox.Show(item.Text);
}