Have you enabled “Include Custom Items” in the window? 

Check by opening properties in the window (RMB - > Properties)

I am assuming that you want to add the menu in Quick report result page where you see the output from quick report. Normally you will not be able to see properties of this screen. This is a special kind of page - a dynamic page created based on the quick report SQL query where you would not be able to create such custom menu. 

I think ideally the possibility to create the menu should also be removed.

Yes, there is not Properties option available in Quick Report Result windows.

How can apply include Custom Items in WIndows

Yes, there is not Properties option available in Quick Report Result windows.

How can apply include Custom Items in WIndows

 

Ah, after report generation it won’t be possible to use a custom menu. As @Rusiru mentions the window is dynamically generated and custom menus aren’t really supported here. 
As a work around you could create a custom page with the data you want to display and then create a custom menu in the new window. 

Have you tried creating a report using the report builder instead of SQL?

if you do this you can select a “row type”, and that enables some RMB capabilities on the resulting report.
It does reduce your report-creating flexibility relative to the SQL approach though.