Provide Command UI support for menu in a CDialog/CPropertySheet

Handle OnInitMenuPopup on your dialog or property sheet as follows:

void CMyPropertySheet::OnInitMenuPopup(CMenu* pMenu, UINT nIndex, BOOL bSysMenu)
{
	if (bSysMenu)
		return;     // don't support system menu

	ENSURE_VALID(pMenu);
	
	// check the enabled state of various menu items
	CCmdUI state;
	state.m_pMenu = pMenu;
	ASSERT(state.m_pOther == NULL);
	ASSERT(state.m_pParentMenu == NULL);
	// determine if menu is popup in top-level menu and set m_pOther to
	//  it if so (m_pParentMenu == NULL indicates that it is secondary popup)
	HMENU hParentMenu;
	if (AfxGetThreadState()->m_hTrackingMenu == pMenu->m_hMenu)
		state.m_pParentMenu = pMenu;    // parent == child for tracking popup
	else if ((hParentMenu = ::GetMenu(m_hWnd)) != NULL)
	{
		CWnd* pParent = GetTopLevelParent();
			// child windows don't have menus -- need to go to the top!
		if (pParent != NULL &&
			(hParentMenu = ::GetMenu(pParent->m_hWnd)) != NULL)
		{
			int nIndexMax = ::GetMenuItemCount(hParentMenu);
			for (int nItemIndex = 0; nItemIndex < nIndexMax; nItemIndex++)
			{
				if (::GetSubMenu(hParentMenu, nItemIndex) == pMenu->m_hMenu)
				{
					// when popup is found, m_pParentMenu is containing menu
					state.m_pParentMenu = CMenu::FromHandle(hParentMenu);
					break;
				}
			}
		}
	}
	state.m_nIndexMax = pMenu->GetMenuItemCount();
	for (state.m_nIndex = 0; state.m_nIndex < state.m_nIndexMax;
	  state.m_nIndex++)
	{
		state.m_nID = pMenu->GetMenuItemID(state.m_nIndex);
		if (state.m_nID == 0)
			continue; // menu separator or invalid cmd - ignore it
		ASSERT(state.m_pOther == NULL);
		ASSERT(state.m_pMenu != NULL);
		if (state.m_nID == (UINT)-1)
		{
			// possibly a popup menu, route to first item of that popup
			state.m_pSubMenu = pMenu->GetSubMenu(state.m_nIndex);
			if (state.m_pSubMenu == NULL ||
				(state.m_nID = state.m_pSubMenu->GetMenuItemID(0)) == 0 ||
				state.m_nID == (UINT)-1)
			{
				continue;       // first item of popup can't be routed to
			}
			state.DoUpdate(this, FALSE);    // popups are never auto disabled
		}
		else
		{
			// normal menu item
			// Auto enable/disable if frame window has 'm_bAutoMenuEnable'
			//    set and command is _not_ a system command.
			state.m_pSubMenu = NULL;
			state.DoUpdate(this, m_bAutoMenuEnable && state.m_nID < 0xF000);
		}
		// adjust for menu deletions and additions
		UINT nCount = pMenu->GetMenuItemCount();
		if (nCount < state.m_nIndexMax)
		{
			state.m_nIndex -= (state.m_nIndexMax - nCount);
			while (state.m_nIndex < nCount &&
				pMenu->GetMenuItemID(state.m_nIndex) == state.m_nID)
			{
				state.m_nIndex++;
			}
		}
		state.m_nIndexMax = nCount;
	}
}

Don't forget to put the ON_WM_INITMENUPOPUP() in your Message Map while you are at it..