@ Ilya Byk,
Microsoft did not reserve a GUI option to make context menus "Aero". When you switch to Aero theme, the menus do not appear much different from what they look with Basic or Classic theme. You can customize them these ways:
1. Control Panel => System => Advanced system settings => Performance options => Adjust for best appearance
2. You may want to use a 3rd party application like Link Removed - Invalid URL or Link Removed - Invalid URL. to make menus transparent and add thicker shadows to them.