Delphi add menu item in Windows Explorer right click
The simplest way to do this is to add a registry entry like this:
HKEY_CLASSES_ROOT * shell YourAppName Command C:\Full\Path\To\Your\App.exe "%1"
When the user clicks on this menu item your app will be executed and passed the file name as the first command line argument.
Whilst you can write a shell extension for this, that is more difficult. What's more, if you are using Delphi 7 then you will not be able to write a shell extension for 64 bit Windows.
At "HKEY_CLASSES_ROOT\*\shell" add key "open with my app" and then add "command" and set Default (REG_SZ) to what you want to run (%1 parameter - filename)