PopupMenu, you can find it in the "Standard" tab on the component toolbar. It is the second item from the left.
How to use it?
Drop a TPopupMenu on the form, double click it and set items for it. Then link it to the form using Object Inspector. TForm has a property called "PopupMenu".
Try it, it's not hard.
Sorry, I was wrong.
I think what you meant is TForm.BorderIcons. You can remove some items but can't add your own items there (in Linux).