Normally, the context menu will be shown at the center of the control when the keyboard is used to invoke the context menu of a control (Shift+F10, for example). You can customize the location as follows.

Override WndProc in the grid and check if the Message.Msg is WM_CONTEXTMENU (0x007b)

If so, check if the Message.LParam is -1, which means this was due to a keyboard message as opposed to the user right-clicking the mouse.

Now, call the associated ContextMenu's Show method explicity at the selected row position.

Make sure NOT to call the base class after showing the menu explicitly.

protected override void WndProc(ref Message m)
{
if(m.Msg == 0x007B /*WM_CONTEXTMENU*/)
{
// LParam == -1 means that this is due to a keyboard message
if((int)m.LParam == -1)
{
this.contextMenu.Show();
return;
}
}
}

[VB.NET]

Protected Overrides Sub WndProc(ByRef m As Message)
If m.Msg = 0x007B Then 'WM_CONTEXTMENU
' LParam == -1 means that this is due to a keyboard message
If (CType(m.LParam,Integer)) = -1 Then
Me.contextMenu.Show()
Return
End If
End If
End Sub

Contributed from George Shepherd's Windows Forms FAQ