I am running XP sp3 on a Q6600 with classic themes, and I can confirm what AEN007 is saying. Just tested it and I am having a similar issue with the context menu hotkeys.
There are no underline markers to show what the &hotkeys are, so I can't tell what to hit to jump through the menu.
Additionally, other hotkeys as shown on the menu, do not work with the menu open (Ctrl+A, Ctrl+U). Hitting those should close the menu and perform the desired action. That's not happening. Works fine if you close the menu and hit those hotkeys, though...just not while the menu is open.
Navigating the menu with the arrow keys and selecting with the enter key does work fine for me, though.