Conform delete dialog of window is not modal

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.NET2.0

.NET

I am displaying context menu of a file in my application. When user clicks Delete in it, then using API, delete will be called as below.

ShellAPI.CMINVOKECOMMANDINFOEX invoke = new ShellAPI.CMINVOKECOMMANDINFOEX();
           invoke.cbSize = ShellAPI.cbInvokeCommand;
           invoke.lpVerb = (IntPtr)cmd;
           invoke.lpDirectory = parentDir;
           invoke.lpVerbW = (IntPtr)cmd;
           invoke.lpDirectoryW = parentDir;
           invoke.fMask = ShellAPI.CMIC.UNICODE | ShellAPI.CMIC.PTINVOKE |
               ((Control.ModifierKeys & Keys.Control) != 0 ? ShellAPI.CMIC.CONTROL_DOWN : 0) |
               ((Control.ModifierKeys & Keys.Shift) != 0 ? ShellAPI.CMIC.SHIFT_DOWN : 0);
           invoke.ptInvoke = new ShellAPI.POINT(ptInvoke.X, ptInvoke.Y);
           invoke.nShow = ShellAPI.SW.SHOWNORMAL;

           iContextMenu.InvokeCommand(ref invoke);

here the problem is, on clicking dialog Confirm Delete dialog appears but it is not Modal dialog.
Please help me regard this.