#3 The popmenu doesn't behave like a standard popmenu

[Gerhard W. Gruber]

When the popmenu is visible it can not be closed by
using the Escape key or by clicking somwhere off the
area of the menu. This is not the expected standard
behaviour as it is for other Windows popupmenus. You
have to explicitly select an entry. In order to avoid
starting unwanted files, you can click the label in
order to make the menu disappear.

[Gerhard W. Gruber]

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This behaviour is only in MS Windows. Under Linux the menu
behaves as expected. This seems to be a limitation of the
wxWindows PopupMenu() function.