Sounds like something deleted the files from your "Send To" folder. You can put that missing "Desktop (as Shortcut)" file back in there (though it won't look the same). To put it back, navigate to "C:\Documents and Settings\[your username]\SendTo" (mine looks like "C:\Documents and Settings\Chris\SendTo") in Explorer, right-click an empty spot inside the folder, click New, click "Text Document", rename the new file "Desktop (as Shortcut).desklink", and accept the dialog that warns you that the file may not work anymore. Now you should have to option back in your menu.
Now you know how to add different destinations to your Send To menu, just add a shortcut to the folder you want to be able to send to in that folder, and you can send to it from the Send To menu.
Do you not understand how to view a folder in Explorer?
Do you not understand how to right-click and select an option fromt he menu?
Do you not understand how to rename a file?
Do you not understand how to create a shortcut to a folder?
Frankly, I can't describe the process any easier. I can explain how to do one of the steps in more detail if you don't understand how to do them, but I have to know what it is that you don't understand in order for me to help you.