Solution 1:

I've found a really easy hack to get rid of context menu phantoms like what you describe. Simply go into your screen resolution settings and change to a different resolution, then change back. The change of resolution seems to reset stuff at a lower level than where the phantom exists, which means the phantom gets cleaned up during the resolution change.

Solution 2:

I've seen this behaviour with certain video cards.

Upgrade your video card driver. If that doesn't work or you can't upgrade it, you can dial down the acceleration on the video card. Go to the Advanced system Properties (Advanced tab) and in performance options, either reduce the level of acceleration or untick "Fade or slide menus into view"

Solution 3:

Open cmd.exe as an administrator and type:

net stop uxsms

The ghosts are gone so you can leave it like that, but if you want you can re-start service
so then type:

net start uxsms

you can also add it as Desktop and Explorer Context Menu:

Add “Restart uxsms” Option in Desktop and Explorer Context Menu under Windows Vista and 7