Dukes,
What operating system are you running? In addition when the menu pulls up does it have any more options then the below options.
- Active Desktop
- Arange Icons
- Line up Icons
- Refresh
- Paste
- Paste Shortcut
- Undo copy
- New
- Properties
In addition how many icons are on your desktop? Finally for these type of issues we also ask that you run through each of the basic troubleshooting steps found in the below document.
http://www.computerhope.com/basic.htm