Oh, did you want to know how to do it?
Okay, here we go:
As learned from previous experience, you are using Windows XP, (it's different for Windows 9x & ME) so just open up Windows Explorer (or My Computer, or your navigator of choice), and navigate to your main hard drive (C: probably), then to \Documents And Settings
Then, find your login name here. Whatever folder doesn't say "Administrator", "All Users", "Default User" (Note: You can go here and do the following steps to put it in any subsequent users you create), "LocalService", or "NetworkService". Then open that folder. Then open SendTo. Put a shortcut to the program you want to "send to" in this folder, and it should appear immediately in the "send to" menu.