This is a problem, but there is a fix for it. The right click menu is not actually skinned. It takes its colors from the windows classic colors.
To fix it:
Click on the Classic Colors button that is on the left side of the preview in the center panel...you may have to scroll down.
On the far right, click om Menus > Menu Bar. Make sure this color is at least as dark as your drop down menu...I usually make it a little darker.
Then, click on Selections > Background-Highlighted. Make sure this color is darker than your drop down menu.
As far as the classic colors go, you need to make sure that you select colors for everything here. I usually pick colors that are close to the skinned elements.
One other thing that may be causing a problem for the right click menu: sometimes, if you have clear type enabled, it will mess it up too...but, not always.
Hope this helps!