If you're making an ArcGIS Add-In (rather than the old extension format), then I believe you can enable / disable buttons or menu items inside your button class like this:
Protected Overrides Sub OnUpdate()
Enabled = bSelected
End Sub
Where bSelected is your boolean indicating whether or not your feature is selected. You can check if a feature in a particular featurelayer is selected like this:
Dim pFeatureSelection As IFeatureSelection = pLayer
If pFeatureSelection.SelectionSet.Count = 0 Then
bSelected = False
Else
bSelected = True
End If
Or you could put them together to cut down on code. Try this:
Protected Overrides Sub OnUpdate()
Dim pFeatureSelection As IFeatureSelection = pLayer
If pFeatureSelection.SelectionSet.Count = 0 Then
Enabled = False
Else
Enabled= True
End If
End Sub
EDIT: I've just realised you said context-menu, which I assume means a right click menu? In which case I'm not sure as I've never used context menus in ArcMap.