There's a similar trick I got from Leo LaPorte on the old ScreenSavers show. It's like a recursive shortcut trick that works on every flavor of Windows that has a SendTo Menu. Open SendTo Menu as you describe above. Press Alt Up Arrow to navigate to the parent folder. Right click on the SendTo shortcut. Select Create Shortcut. You can rename it what you like but traditionally it has the name "Send To SendTo." Now cut the shortcut you just renamed and paste it into the SendTo folder. From now on you may copy any shortcut to the SendTo Menu by right clicking the shortcut, opening the SendTo Menu, and clicking the command "Send To SendTo."
Note: make sure to only copy shortcuts, not exe files themselves.