Here's the procedure (copied from Windows XP Help and Support):
To add a destination to the Send To menu
1.. Open My Computer.
2.. Double-click the drive where Windows is installed (usually drive C, unless
you have more than one drive on your computer).
If you can't see the items on your drive when you open it, under System Tasks,
click Show the contents of this drive.
3.. Double-click the Documents and Settings folder.
4.. Double-click the folder of a specific user.
5.. Double-click the SendTo folder.
The SendTo folder is hidden by default. If it is not visible, on the Tools
menu, click Folder Options. On the View tab, click Show hidden files and
folders.
6.. On the File menu, point to New, and then click Shortcut.
7.. Follow the instructions on your screen.
Note
a.. To open My Computer, double-click the My Computer icon on the desktop