To give a customized menu as given above:
- Go to My Computer
- In Tools > Folder Options, Go to File Types
- Select the file type you want to add the menu item to (Ex: for *.sql - Microsoft SQL Server Query File)
- Click "Advanced"
- Click "New"
- In New Action, give the name you want to appear in right click menu in Action field
- Give the absolute path to the executable in "Application used to perform action" field
- Click OK.