In Windows, a menu bar is a horizontal bar most often displayed immediately below the caption bar and usually containing a list of drop-down menu items. These drop-down menus can contain either other menu items or nested submenus. Menu items can be enabled, disabled, greyed and checked or not checked.

Menus can be constructed programmatically or built with a resource editor in some IDEs. CreateMenu(), AppendMenu() and InsertMenu() are the primary API function calls when building menus and maintaining menus at run time -

Create a Menu

To create a menu use the CreateMenu() API function. The menu is initially empty. The prototype of this function is

HMENU CreateMenu();

If the function succeeds, the return value is a handle to the newly created menu. If the function fails, the return value is NULL.

Adding a Menu Item

To add items to the top-level menu, drop-down menu, submenu or context menu use the AppendMenu API function. The prototype is -

BOOL AppendMenu(HMENU hMenu,UINT uFlags,UINT_PTR uIDNewItem,LPCSTR lpNewItem);

where
hMenu – A handle to the menu bar, drop-down menu, submenu, or shortcut menu to be changed.
uFlags -Controls the appearance and behaviour of the new menu item.
uIDNewItem – The identifier of the new menu item or, if the uFlags parameter is set to MF_POPUP, a handle to the drop-down menu or submenu.
lpNewItem -The content of the menu item. Can be one of the following: MF_BITMAP; MF_OWNERDRAW; MF_STRING

If the function succeeds, the return value is nonzero. If the function fails, the return value is zero. 

For further detailed reading 
https://docs.microsoft.com/en-us/windows/win32/api/winuser/nf-winuser-appendmenua

Dynamically Modifying Menus

Modify a Menu

The ModifyMenu function changes an existing menu item. The prototype of this function is -

BOOL ModifyMenu(HMENU hMnu,UINT uPosition,UINT uFlags,UINT uIDNewItem,LPCTSTR lpNewItem);

hMnu - Handle to the menu to be changed.
uPosition - Specifies the menu item to be changed, as determined by the uFlags parameter.
uFlags - Specifies flags that control the interpretation of the uPosition parameter and the content, appearance, and behaviour of the menu item.
uIDNewItem - Specifies either the identifier of the modified menu item or the handle to the drop-down menu or submenu.
lpNewItem - Pointer to the content of the changed menu item.

Returns nonzero if the function is successful; otherwise zero.

For further detailed reading
https://docs.microsoft.com/en-us/windows/win32/api/winuser/nf-winuser-modifymenua

Insert a Menu Item

To insert a new menu item at the specified position in a menu use the IntertMenuItem() API function. The prototype is -

BOOL InsertMenuItem(HMENU hmenu,UINT item,BOOL fByPosition,LPCMENUITEMINFOA lpmi);

hMenu - Handle to the menu where the new menu item will be inserted.
uItem - Identifier or position of the menu item before which to insert the new item.
fByPosition - Value specifying the meaning of uItem. If this parameter is FALSE, the uItem parameter is a menu item identifier. Otherwise, it is a menu item position.
lpmii - Pointer to a MENUITEMINFO structure that contains information about the new menu item.

Returns nonzero if the function is successful; otherwise zero.

For further detailed reading.
https://docs.microsoft.com/en-us/windows/win32/api/winuser/nf-winuser-insertmenuitema

Deleting a Menu

Deletes a menu item and the submenu associated with it, if any. The prototype of this function is -

BOOL DeleteMenu(HMENU hMenu,UINT uPosition, UINT uFlags);

Where
hMenu– Handle to the menu to be changed.
uPosition – Specifies the menu item that is to be deleted
nFlags – Is used to interpret nPosition

Returns nonzero if the function is successful; otherwise zero.

Some Useful Menu-Related Messages

WM_COMMAND – fires when the user selects an active menu item. The value of the LOWORD(wParam) contains the menu item selected.

WM_INITMENU – fires whenever the user clicks anywhere in the menu bar but before the menu becomes active allowing an application to change the menu before an item is chosen. Windows sends the WM_INITMENU message only once per menu activation. The wParam contains a handle to the menu to be initialised.

For further reading https://docs.microsoft.com/en-us/windows/win32/menurc/wm-initmenu

WM_MENUSELECT –  Sent to a menu's owner window when the user selects a menu item. The low-order word of wParam specifies the menu item or submenu index while the high-order word of wParam specifies one or more menu flags. The lparam contains a handle to the menu that was clicked.

For further reading https://docs.microsoft.com/en-us/windows/win32/menurc/wm-menuselect

WM_INITMENUPOPUP – Sent when a drop-down menu or submenu is about to become active. This allows an application to modify the menu before it is displayed. The wParam is a handle to the drop-down menu or submenu. The low-order lParam word specifies the zero-based relative position of the menu item while the high-order word indicates whether the drop-down menu is the window menu. If the menu is the window menu, this parameter is TRUE; otherwise, it is FALSE.

For further reading https://docs.microsoft.com/en-us/windows/win32/menurc/wm-initmenupopup

The Popup or Context Menu

A popup or context menu generally appears when the user right-clicks. The term context menu refers to the fact that the options in the menu relate to what was right-clicked. The TrackPopupMenu() function displays a context menu in a specific position on the screen. The popup menu can be loaded from an existing resource or created dynamically with a call to CreatePopupMenu.

The prototype for the TrackPopupMenu is -

BOOL TrackPopupMenu(HMENU hMenu,UINT uFlags,int x,int y,int nReserved,HWND hWnd,const RECT *prcRect);

Where
nFlags – Specifies screen-position and mouse-position flags.
Use one of the following flags to specify how the function positions the shortcut menu horizontally.
TPM_CENTERALIGN – Centers the shortcut menu horizontally relative to the coordinate specified by the x parameter.
TPM_LEFTALIGN – Positions the shortcut menu so its left side is aligned with the coordinate specified by the x parameter.
TPM_RIGHTALIGN – Positions the shortcut menu so its right side is aligned with the coordinate specified by the x parameter.
Use one of the following flags to specify how the function positions the shortcut menu vertically.
TPM_BOTTOMALIGN – Positions the shortcut menu so its bottom side is aligned with the coordinate specified by the y parameter.
TPM_TOPALIGN – Positions the shortcut menu so its top side is aligned with the coordinate specified by the y parameter.
TPM_VCENTERALIGN – Centers the shortcut menu vertically relative to the coordinate specified by the y parameter.
x – Specifies the horizontal position in screen coordinates of the pop-up menu.
y – Specifies the vertical position in screen coordinates of the top of the menu on the screen.
pWnd – Identifies the window that owns the pop-up menu.
lpRect – Ignored.

Returns the result of calling TrackPopupMenu

Example