Оформил: DeeCo
Автор: http://www.swissdelphicenter.ch

type
   TForm1 = class(TForm)
     // ... 
  private
     IsMenuOpen: Boolean;
     procedure WMMENUSELECT(var message: TWMMENUSELECT); message WM_MENUSELECT;
   end;

   implementation

 procedure TForm1.WMMENUSELECT(var message: TWMMENUSELECT);
 begin
   inherited;
   IsMenuOpen := not ((message.MenuFlag and $FFFF =  0) and (message.Menu = 0));
 end;