I am not sure if there is a suggested way to do this, but I am in it for results. Here is something you can try.

Capture the mouse down event on the ultraexplorerbar. In the mouse down event, check if the button is the right mouse button. If it is there is a little known function you can call, ItemFromPoint().

Create an item and pass it the mouse position:

UltraExplorerBarItem item = new UltraExplorerBarItem();
item = ultraExplorerBar1.ItemFromPoint(e.Location);

The function returns the item from the point, or null if there is none. Now you can pop a custom context menu.