//Suppose menu is the name of your Menu (or ContextMenu)
bool suppressOpen = true;
menu.AddHandler(MenuItem.SubmenuOpenedEvent, new RoutedEventHandler((s, e) =>
{
   if (suppressOpen) ((MenuItem)e.Source).IsSubmenuOpen = false;
   else suppressOpen = true;
}));
menu.AddHandler(MenuItem.PreviewMouseDownEvent,
                new MouseButtonEventHandler((s, e) =>
{
   suppressOpen = false;
   ((MenuItem)e.Source).IsSubmenuOpen = true;
}));