Q: почему после вывода окна меню из трея, пpи помощи PopupMenu, не могу никак сбpосить это окно без выбоpа элемента меню? Кто-нибудь с этим сталкивался?

Ответ приведен в MSDN, в статье Q135788:

SYMPTOMS

When you display a context menu for a notification icon (see Shell_NotifyIcon), clicking anywhere besides the menu or the window that created the menu (if it is visible) doesn't cause the menu to disappear. When this behavior is corrected, the second time this menu is displayed, it displays and then immediately disappears.

RESOLUTION

To correct the first behavior, you need to make the current window the foreground window before calling TrackPopupMenu or TrackPopupMenuEx.

The second problem is caused by a problem with TrackPopupMenu. It is necessary to force a task switch to the application that called TrackPopupMenu at some time in the near future. This can be accomplished by posting a benign message to the window or thread.

The following code will take care of all of this:

   SetForegroundWindow(hDlg);

   // Display the menu
   TrackPopupMenu(   hSubMenu,
                     TPM_RIGHTBUTTON,
                     pt.x,
                     pt.y,
                     0,
                     hDlg,
                     NULL);

   PostMessage(hDlg, WM_NULL, 0, 0); 

STATUS

This behavior is by design.

От себя замечу, что класс TrayIcon в § 5.2. «А как засyнyть пpогpаммy тyды к часикам?» лишен этого недостатка.