Do you have a lot of applications running when you are trying this? I encounter weird behavior at work sometimes because my system runs out of GDI Handles as I have so many windows open (our apps use alot).
When this happens, windows and context menus no long appear until I close something to free up some GDI handles.
The default limit in XP and Vista is 10000. It is not uncommon for my DevStudio to have 1500 GDI handles, so if you have a couple of copies of Dev studio open, it can eat them up pretty quickly. You can add a column in TaskManager to see how many handles are being used by each process.
There is a registry tweak you can do to increase the limit.
For more information see http://msdn.microsoft.com/en-us/library/ms724291(VS.85).aspx