Main menu in WP7 and audio player have the implementation. But how can i do it in my app?

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I guess you are asking about the JumpList and not ListBox. Take a look at http://www.codeproject.com/Articles/166297/Developing-a-Windows-Phone-7-Jump-List-Control and see if that solves your question. Also take a look at the following Codeplex project: http://bewisephonecontrols.codeplex.com/, both have implementations of the jumplist.