What kind of controls are available will actually depend on the kind of project you create.
visual studio is now not only an amazing Swiss Army knife packed with 20 years of features, but also as a result is able to create different kinds of projects of EVERY conceivable type from console applications, phone applications, desktop applications, web-based applications.
Now, you tagged this question with asp.net.
But your screen shot shows you expanded the tree with "All windows forms".
However, creating a web site does not let you use controls for the windows desktop, does it?
Normally if you do not beat the toolbox to death with a frying pan, it should automatic only show controls for the given type of project.
And not only can you create web-based applications, but we have also about 3 or MORE different kinds of web applications. We have for example the older "web forms" choice. That choice gives you a toolbox with drag and drop to a visual designer.
However, if you create a newer "MVC" web site, then you don't have a visual drag and drop designer anymore.
So, if I create a web form asp.net application?
Well, obviously you can't use windows controls in a web browser (which is a VAST different technology and means to display information then controls used for creating desktop applications).
So, with a web forms project, I then see this:

So, I don't even SEE the "All windows forms" option, since I am NOT using windows forms.
I mean, no chance that windows controls can run and be used in a standard web browser right?
So, Chrome, or Firefox have ZERO clue about some controls that are for Microsoft windows. As a result, you not given "window forms" controls as a choice.
And if you by FORCE ADD the "All windows forms" to a web project, then it will display in the toolbox "tree", but as such they are still disabled/grayed out, since such controls are of no use and cannot be used in web projects.
however, if I create a windows form application, then the toolbox should automatically re-configure, and I see this now
For a windows forms application:

And I might want to create a desktop application based on WPF (windows presentation foundation). And again, the controls I can use are going to be different then the long-time windows desktop controls.
You HAVE to use WPF controls, and thus the toolbox now shows this:

So, there are boatloads of different kinds of projects.
And you certainly can't use "windows forms" controls for a web-based application.
so, you did not mention what kind of project you created, but the kind of project you create quite much decides what choice(s) of controls you can use.
You can no more use a windows desktop control on your smartphone, nor can you use such controls in a web browser.
So, "hopefully" then VS will restrict the choices for you.
But, as noted, if you beat up the toolbox, and force display of choices for a project that does not have nor allow such choices?
then the options can be displayed in the toolbox, but they will be disabled.
So, what we REALLY need to know here is what kind of project are you wanting to create, or did create?
That project type choice will then decide and determine what sets of controls you can use for that given type of project.
So, a one-line answer?
the ContextMenuStrip is not a control that you can use nor is it available for a asp.net web project.