If you open up %APPDATA%\Microsoft\Windows\SendTo in Windows Explorer.
You see %APPDATA% is an environment variable that usually maps to something like C:\Documents and Settings\[YOUR USER PROFILE]\Application Data\ in Windows 2000/XP and "C:\Users\[YOUR USER PROFILE]\Application Data\" in Windows Vista.
Let's say you wanted to add an item to the Send To menu to shred files with sdelete. You could just drag a shortcut to the shred script this folder, or create a new shortcut.
This method should work for any application that allows you to open a file by using a command line argument.