Use the Highlight property to specify whether the focused item appears selected. By default, the Highlight property is True.  The Gray and Highlight properties of Item object helps you to specify how the item appear when it is disabled and selected. For instance, the following sample adds an un selectable item:

With PopupMenu1
        With .Items.Add("My <b>title</b>", Default, 1234)
            .Highlight = False
            .Enabled = False
            .Gray = False
        End With
End With