Encontrou um link na Internet que descreve o que fazer: link
If you want to have the same context menu functionality you got from gVim in 32-bit Windows you’ll need to make the following changes to the
[HKEY_CLASSES_ROOT\*\shell\]
key in the registry:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\*\shell\Edit with Vim]
[HKEY_CLASSES_ROOT\*\shell\Edit with Vim\command]
@="C:\Program Files (x86)\Vim\vim73\gvim.exe \"%1\""
A página inclui um fragmento .reg que funcionará para o gVim 7.3