Is it possible to keep a drop-down menu in Windows open while users click multiple checkable menu it

I'm working on a Visual Basic 6 interface here at work that uses a traditional form menu built using the Menu Editor. One selection on the menu exposes a list of 3 items which the users can check and uncheck. That works. However, each time the user checks or unchecks a menu item the menu disappears. Is there a setting that will keep the menu displayed while the user checks and unchecks multiple menu items? If not, I suppose the best alternate solution is to have one menu item that displays a dialog form with the three items listed as checkbox controls. The users can then work from that dialog form and close it when they are finished.