Use Check property to check or uncheck an item.  The following sample shows to use bullets in your application:

Private Sub Form_Load()
    PopupMenu1.Items.Add("Bullet 1", Default, 1).Bullet = True
    PopupMenu1.Items.Add("Bullet 2", Default, 2).Bullet = True
    PopupMenu1.Items.Add("Bullet 3", Default, 3).Bullet = True
    PopupMenu1.Items(1).Check = True
End Sub

Private Sub Form_MouseUp(Button As Integer, Shift As Integer, X As Single, Y As Single)
    If (Button = 2) Then
        Dim nID As Long
        nID = PopupMenu1.ShowAtCursor
        For i = 1 To 3
            PopupMenu1.Command(i).Checked = False
        Next
        PopupMenu1.Command(nID).Checked = True
    End If
End Sub