Now the solution 4 ur problem
Step 1
Copy the Address of your desired folder from address bar for example if it is D:\Pallav copy it(its location on ur hard drive)
Step 2
goto c:\ drive
Step 3
goto Tools-->Folder Option-->View-->Hidden Files and Folders-->Hide protected operating system files(Recommended)
Step 4
Unhide Hide protected operating system files(Recommended)
#it will give warning don't worry
Step 5
goto C:\Documents and Settings\Administrator\SendTo
#In place of Administrator its your User name
Step 6
Right Click --> New--> Shortcut(As In Figure) Paste The name od ur desired folder in "Type the location of the Item" Text Field for Example D:\Pallav -->Next-->Finish
U may browse ur desired folder also.....
Step 7
Done Right click on Whatever u want to send to ur desired Folder..... (See the Picture)