void __fastcall TForm2::N2Click(TObject *Sender)
{
  TMenuItem *NewItem;
  MainMenu1->Items->Items[0]->Add();
  NewItem=...... Caption=DBGrid1->Columns[2];
  }

TMenuItem *NewItem;
  // first create the separator
  NewItem = new TMenuItem(this); // If you change the AOwner (this) to MainMenu1->Items[1] and then you add the new menu you will get "Menu inserted twice"?  Doesn't happen in Delphi.
  NewItem->Name = "Separator";   // The owner will cleanup these menu items.
  NewItem->Caption = "-";
  // add the new item to the Windows menu
  MainMenu1->Items->Items[1]->Add(NewItem);

 TMenuItem * a =  MainMenu1->CreateMenuItem();
TMenuItem * b =  new TMenuItem(a);
a->Caption = "Меню";
b->Caption = "Подменю";
MainMenu1->Items->Add(a);
a->Add(b);

TMenuItem * a =  MainMenu1->Items[1].Items->CreateMenuItem();
TMenuItem * b =  new TMenuItem(a);
a->Caption = "Меню";
b->Caption = "Подменю";
MainMenu1->Items->Add(a);
a->Add(b);