You can actually do this, here is a code that shows you, like so much more.
In any mouse event from NotifyIcon, just look at Control.MousePosition, this contains (x, y) mice. The same can be done to position ContextMenu in the form / control exactly where the form / control was clicked using these values (x, y).
A good example of both of them is here:
More details here: http://code.msdn.microsoft.com/TheNotifyIconExample
TheUberOverLord
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