How to enable underscore (shortcut mnemonics) for menu items?
Solution 1:
Press Win+U to open the Ease of Access Center.
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There click on Make the keyboard easier to use.
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Then tick the checkbox Underline keyboard shortcuts and access keys.
It seems that they are displayed by default if you open the context menu with the keyboard either by pressing the appropriate key or Shift+F10.
Solution 2:
For Windows 10 Users:
Win + U or Settings => Ease of Access to open Ease of Access
Select Keyboard Options
Under Other Settings, Turn On Enable shortcut underlines