I found this in a few different places around the 'net - hopefully it's helpful:

Add an Item to the Send To Menu

You can create a new shortcut on the Send To menu, for example, one that goes to a frequently-used folder.

• Open My Computer, and double-click the drive where Windows is installed, which is usually drive C.
• Double-click the Documents and Settings folder, and then double-click the folder for the particular user.
• Double-click the Send To folder. The Send To folder is hidden by default. To see the Send To folder, click Tools, click Folder Options, and then click Show hidden files and folders.
  
• On the File menu, point to New, and then click Shortcut.
• Follow the instructions to create a shortcut.

Now, when you right-click a file, and click Send To, the shortcut to the item you selected will be an option. You can create shortcuts to local or network programs, files, folders, computers, or Internet addresses.