You will need to access the registry and add a key under root\\File\\shell or root\Folder\\shell, depending on which items you want the menu item visible on.
Try this article at CodeProject, it's quite useful.
Edit: There's another article here which may be of help.
1) Identify the file type (ProgID) for .jpg files
This can be done by checking the default value of HKEY_CLASSES_ROOT\.jpg. It could be anything based on what you've installed, but for the purposes of this example, we'll call it jpegfile, a common default.
2) Set the context menu item (verb) properties for that file type
You can set per-user context menu items in HKEY_CURRENT_USER\Software\Classes\jpegfile\shell. This key has a list of verbs for the file type. There is a similar key in HKEY_LOCAL_MACHINE\Software\Classes\jpegfile\shell, and these are the system defaults for the file type. You can put a verb key there too, but if the same key exists in HKCU, it will be overridden, so be advised.
3) Set the command value
The bare minimum key value that needs to be set to get it to work is the default value of the command subkey. You need to set that with the path to your application, like so: HKEY_CURRENT_USER\Software\Classes\jpegfile\shell\open_with_myapp\command would be set to "c:\path\to\myapp.exe" "%1". Now a context menu for .jpg files will have a "open_with_myapp" item which will launch your app when clicked, and pass the file name of the selected file as a parameter. Of course, how your application processes parameters is up to you, so you'd need to set the parameter string to something your app can process.
4) Set other verb properties
I'd imagine you're probably going to want the context menu item to read something a little more friendly than the key name. You can have the context menu display whatever label you want for your item by setting the default value of that key (open_with_myapp).
That's your basic overview. Definitely check out my answer to this question about associating a file, which has a similar answer:
Best Answer
Yes, the
*class:Create the key:
HKEY_CLASSES_ROOT\*\shell\Open with MyThingCreate the sub key:
HKEY_CLASSES_ROOT\*\shell\Open with MyThing\commandSet the default value to your command line:
C:\foo\myThing.exe "%1"(You can add fixed values here also:
C:\foo\myThing.exe "%1" /ranfromshell)To set an optional icon create the string value
Iconin:HKEY_CLASSES_ROOT\*\shell\Open with MyThingYou can put the path to an icon, dll or exe here - Windows will extract the appropriate icon & display it.
Example
For:
.Reg