I don't think you can do it in the designer but I did come across a way to do it programmatically:
http://stackoverflow.com/questions/4595116/c-sharp-context-menu[
^]
The relevant code from this article (again,not mine but from this article so this is a quote from Hans Passant):
contextMenuStrip1.Items.Insert(0, new ToolStripLabel("Please select an option"));
contextMenuStrip1.Items.Insert(1, new ToolStripSeparator());