For files:

HKEY_CLASSES_ROOT\*\shell\

For directories:

HKEY_CURRENT_USER\Software\Classes\Directory\shell\

HKEY_CURRENT_USER\Software\Classes\Directory\Background\shell\

1. Add a Key with: <Application Name> with default value <Title of menu item>
2. Add a string value Icon with an exe name containing an icon as embedded resource
3. Add a sub Key “command” with default value an exe name.