public class GridViewContextMenu :
    ASPxPopupMenu

Public Class GridViewContextMenu
    Inherits ASPxPopupMenu

<dx:ASPxGridView ID="Grid" OnContextMenuInitialize="Grid_ContextMenuInitialize" >
    ...
</dx:ASPxGridView>

protected void Grid_ContextMenuInitialize(object sender, ASPxGridViewContextMenuInitializeEventArgs e) {
    if(e.MenuType == GridViewContextMenuType.Rows) {
        e.ContextMenu.Items.Add("Item name", "Command name");
    }
}