Hereby incorporating by reference the "FakeMenu" sample in the Platform SDK. It's in the winui\shell\fakemenu directory.
For those who don't have the Platform SDK, what are you doing writing Win32 programs without the Platform SDK? Download it if it didn't come with your development tools.
If for some reason you don't want the Platform SDK yet you want to write Win32 programs (I bet you're the sort of person who throws away the manual as soon as you buy something), you can look at the version that Chris Becke has stashed away on this page.