The context menu pops up when you right click an item giving you some options based on the extension of the file. You could for instance select to rename the file, open it, open it with, take a look at the properties and so on. The tip I´am explaining right now will be helpfull for instance if you perform an action over and over again while the command is not directly available from the right click menu.
You have to open your registry by clicking start, run and typing in regedit. Open the first key HKEY_CLASSES_ROOT and select the * which should be the first key beneath. Expand the * key and select the subkey shell. If shell does not exist you create it by right clicking the * and choosing New -> Key from the menu. Name the key shell. Right click the shell key afterwards and select New -> Key again. Find a name that describes the action, for example Open with Notepad, Open with Wordpad..
Now right click the Default string on the left and select Modify. The name that you put in here will be the name that pops up when you right click on a file. Select Open with Notepad for example. Right click the key again and create a new key. You have to name this new key Command. After this right click the Default String again and enter the filename of the program that you want to use, for example notepad.exe %1
%1 means that it will perform the action on the selected file. You now should have a structure that begins with *, a subkey shell, a subkey Open with notepad, a subkey command. To test if this is working right click a file on your desktop. The new command should appear.
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How about how to add a new file type to the New portion of the shell menu?