This is from Tech Recipies:

Customizing Right Click on File:

-open regedit (start\run, type regedit)
-expand until you are in: HKEY_CLASSES_ROOT\*\shell
-if the key ‘shell’ does not exist, right click on * and add new key and name it ‘shell’
-to add the item right click on ‘shell’ and create a new key, the name of this key will be what appears in the menu. I named mine “cmd”
-next right click your newly created key “cmd” and create another key under it named “command”
-double click the default entry in this folder and type in command.exe
-(if you are doing a different program, you would do the complete path to that program instead of command.exe)
-that’s it your done, now when you right click on a file the option to open a command prompt will be there!

Yup, there we go! Pretty handy stuff.