This is a shell extension. You've tagged this question with the C# tag; you should know that writing shell extensions in a managed language is strongly discouraged:
Unfortunately unmanaged C++ is really
the only way to go here.
Writing in-process shell extensions
in managed code is actually a very
dangerous thing to do because it has
the effect of injecting your managed
code (and the .NET Framework) into
every application on the machine that
has a file open dialog.
The problems occur because only one
version of the .NET Framework can be
loaded in a process at any given time
(other shared components such as java
and msxml have the same property and
thus the same restriction).
If you write your shell extension
using the 2.0 .NET Framework and an
application built with the 1.1 .NET
Framework uses a file open dialog,
your shell extension will fail because
it can not run on an earlier version.
Things can get even worse if your
shell-extension manages to get loaded
in a process before another
applications managed code does: your
extension may force an existing
application onto a different runtime
version than the one it was expecting
and cause it to fail.
Because of these problems we strongly
recomend against using any
single-instance-per-process runtime or
library (such as the .NET Framework,
java, or msxml) in an in-process shell
extension.
That said, people have done it.
Here's a guide to creating shell extensions, using C++.