ContextMenuStrip does not proved scroll event trapping, not tried this but you may be able to use IMessageFilter.PreFilterMessage and trap mouse wheel events when the ContextMenuStrip is active, there may be other conditions such as page up and page down you have to trap as well to completely block scrolling.
Private Const WM_MOUSEWHEEL As Integer = &H20A
Private ContextActiveFlag as Boolean = False
Public Function PreFilterMessage(ByRef m As System.Windows.Forms.Message) As Boolean Implements IMessageFilter.PreFilterMessage
' Manage Time Value For Idle Timeout
Select Case m.Msg
' If Context Menu Flag True Return True on Mouse Wheel event to ignore
If ContextActiveFlag = True Then
' not handling this event so return false
On the MenuStrip control trap the Opening or Opened to toggle the ContextActiveFlag to True and the Closing or Closed events to toggle the ContextActiveFlag to False.