To do that you need to add a shortcut to your application in the
AppData\Roaming\Microsoft\Windows\SendTo
folder for your user(s). To find out what I mean, use start, run and execute the following:
%APPDATA%\Microsoft\Windows\SendTo
This will open windows explorer in the relevant folder.
You can do this from your setup application - just create an appropriate shortcut in the folder on the user machine.