You can add a new item to the 'Send To' Windows explorer menu by creating an application shortcut in the SendTo folder contained in the user's profile folder e.g. C:\Documents and Settings\Username\SendTo\
But how do you add a 'Send To' menu item that will be available to all users without having to add it to every user's profile folder?
I found one page that suggested that you could create a SendTo folder in C:\Documents and Settings\All Users but the article was targeted at Windows 2000 and it does not appear to work in Windows XP.