I am making use of ContextMenuStrip in my program and apparently, it wont show its shortcut keys (mnemonics, those that should be shown as underlines under letters preceded
That is an operating system setting:
Control Panel\All Control Panel Items\Ease of Access Center\Make the keyboard easier to use\Make it easier to use keyboard shortcuts\Underline keyboard shortcuts and access keys.
Change the way the context menu is invoked. Don't show it manually, instead use something like:
textBoxSomething.ContextMenuStrip = yourContextMenuStrip;
In this case, if the user right-click on the text box (or other control you use), he will get the menu without mnemonics. But if he uses the keyboard context-menu-button to show the context menu, the mnemonics will be shown.