Actually, I figured it out myself. For those interested, here is the VB.net code.
Private Sub gr_PlotAreaMouseDown(ByVal sender As System.Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles gr.PlotAreaMouseDown
Dim ann As NationalInstruments.UI.XYPointAnnotation = gr.GetAnnotationAt(e.X, e.Y)
If Not IsNothing(ann) Then
ContextMenuStrip1.Show(sender, e.X, e.Y)
End If
End Sub