This is from Kelly's Korner:
http://www.kellys-korner-xp.com/xp_abc.htm
Context Menus (Right Click) - Deleting entries
Click Start, Run and enter REGEDIT Go to:
HKEY_CLASSES_ROOT\*\OpenWithList
HKEY_CLASSES_ROOT\*\shellex\ContextMenuHandlers
HKEY_CLASSES_ROOT\Directory\shell
HKEY_CLASSES_ROOT\Directory\shellex\ContextMenuHan dlers
HKEY_CLASSES_ROOT\Drive\shell
HKEY_CLASSES_ROOT\Drive\shellex\ContextMenuHandler s
HKEY_CLASSES_ROOT\Folder\shell
HKEY_CLASSES_ROOT\Folder\shellex\ContextMenuHandle rs
You can also go to a specific File extension (example: HKEY_CLASSES_ROOT\.txt\ShellNew) and right click on the ShellNew key and select Delete, if the item shows up in the New context menu.
Expand the above branch and look through the sub-keys. Locate the one that corresponds to the entry you wish to remove and right click that sub-key and select Edit.
You may wish to right click the desired sub-key and select Export. This will create a REG file that you can double click to re-import the information, if you find out you deleted the wrong one, or want it back.