You need to use the System.Management.Automation.Host.ChoiceDescription .NET Framework class, which is designed for console menus.
For a very good example of use, see this Technet Blog article.
EDIT: I missed the fact that you wanted an arrow keys/enter key driven CLI menu.
I found a blog post from Jakob Bindslet that seems to be just what you wanted, although I confess I can't try it just yet, but I can't wait to!
EDIT: Another excellent option from Micahel Albert can be found on his blog; I found this option to be superior in that it does not clear the console window on arrow navigation.