To annotate screens that will contain open menus or
open dropdown listboxes you should use a shortcut
key to activate annotation mode instead of clicking
the program icon in the System Tray. In Windows,
clicking anything while a menu or listbox is open will
automatically close that menu or listbox. Further, you
should not specify Alt as one of your shortcut key
modifier keys as pressing it will automatically close
any open menus. The keyboard shortcut can be
changed in Program Activation Options.

If you must use Alt as a modifier, you can get around
the automatic closing of these items by using the
PrintScrn button to capture the current screen (open
menus and all) to the Windows Clipboard. Then use
MyScreen's Paste command on the Screen menu
to use the contents the Clipboard as its annotation screen.