Isso é explicado em Como adicionar qualquer aplicativo ao menu do menu da direita do Windows Desktop , que diz:
The first thing you’ll want to do is open up regedit.exe through the Start Menu search or run box, and then browse down to the following key:
HKEY_CLASSES_ROOT\Directory\Background\shell
The screen should look similar to this one if you are in the right place.
Next, you’ll want to create a new key underneath the shell key, the name of which is exactly what is going to show up on the desktop menu. Right-click on the “shell” key, and then choose New \ Key from the menu.
Give the new key the name that you want to show up on the desktop context menu. For this example we’ll be using Open with Notepad++.
Next you’ll need to create the command key that will actually hold the command used to launch the application. Right-click on the new Notepad++ key, and then choose New \ Key from the menu.
Give this key the name “command” in lowercase.
To complete this step you’ll need the full path to the application that you want to launch. You can use Shift + Right-Click to get the Copy as Path menu item to find this more quickly.
Now click on “command” on the left side, and then double-click on the (Default) key in the right side to edit the string value.
Paste in the full path to the executable that you got from the “Copy as Path” step above, or you can put in the full path yourself if you’d like.
And right-clicking on the desktop will produce the new menu item… naturally, using this menu item should launch Notepad++.
You can add as many applications to the desktop context menu as you’d like, just repeat the steps again with a new menu item name.
É basicamente o mesmo para outras versões do Windows também.