If you need to add extra option(path) to this list(SEND TO) then follow the simple steps as follows.
1. Open RUN
2. Copy & Paste the below address & Hit Enter
%USERPROFILE%\SendTo
3. Then Right click on the blank area & navigate to New >> Shortcut as shown below

4. When you click on the Shortcut a pop up menu opens in that browse the address of the folder or drive then click OK & FINISH.
ex: in the below image i am adding SOFTWARE(D:) in send to option.

5. After adding D: drive in SEND TO option it will displays like this

If you wish you can change the icons of the folder.