It depends on where in the right click menu.
Go to Start/Run/Regedit and navigate to:
HKEY_CLASSES_ROOT\*\OpenWithList
HKEY_CLASSES_ROOT\*\shellex\ContextMenuHandlers
This is where some items are located.
You can also go to a specific File extension (example:
HKEY_CLASSES_ROOT\.txt\ShellNew) and right click on the ShellNew key and
select Delete, if the item shows up in the New context menu.
Other Checkpoints
It depends on where in the right click menu.
Go to Start/Run/Regedit and navigate to:
HKEY_CLASSES_ROOT\*\OpenWithList
HKEY_CLASSES_ROOT\*\shellex\ContextMenuHandlers
HKEY_CLASSES_ROOT\Directory\Background
HKEY_CLASSES_ROOT\Directory\shell
HKEY_CLASSES_ROOT\Directory\shellex\ContextMenuHandlers
HKEY_CLASSES_ROOT\Drive\shell
HKEY_CLASSES_ROOT\Drive\shellex\ContextMenuHandlers
HKEY_CLASSES_ROOT\Folder\shell
HKEY_CLASSES_ROOT\Folder\shellex\ContextMenuHandlers
Customizing Right-Click Menu Options in Windows
http://www.jfitz.com/tips/rclick_custom.html
ContextEdit lets you control which items appear on your context menu
(right-click) in Windows Explorer.
Add, Modify, Disable, Delete Context Menu Listings (Line 23)
http://www.kellys-korner-xp.com/xp_tweaks.htm