By default when you select an item from a TMainMenu or TPopupMenu etc, the menu closes after it was clicked. I would like to change this behavior so that when I select on a
My guess is that although this is acceptable, you should probably consider writing your own menu system, using Panels or forms, or a complete custom control/component set, and not use the standard TPopupMenu or TMainMenu at all if you want to do this.
If you want some starter source code, I would start with something like the Toolbar2000+SpTBX Sources. I am pretty sure you would be able to accomplish this using those, but not with TMainMenu and TPopupMenu, because they wrap some Win32 builtins that will have behaviours (including closing when you don't want to) that it's not possible to override.
You might also be able to do something like this out of the box with the Developer Express toolbar components.