How to Add Items to the "Send To" Menu in Windows XP

1. Click Start, and then click Run.
2. In the Open box, type sendto, and then click OK.
3. Add a destination by doing one of the following:

Use the drag-and-drop operation to move the item that you want to the SendTo folder; to do so, right-click, and then click Create Shortcuts Here.

-or-

Point to New on the File menu, and then click Shortcut. Follow the instructions in the Create Shortcut Wizard. A new shortcut is created in the SendTo folder, and it is displayed on the Send To menu.

Source: http://support.microsoft.com/kb/310270