Having just messed around with this, it's useful to kjnow that the e.X / e.Y points are relative to the control, so if (as I was) you are adding a context menu to a listview or something similar, you will want to adjust it with the form's origin. In the example below I've added 20 to the x/y so that the menu appears slightly to the right and under the cursor.
cmDelete.Show(this, new Point(e.X + ((Control)sender).Left+20, e.Y + ((Control)sender).Top+20));