In Windows Explorer, you right click on a file, a context menu shows up which contains built-in items like \'Send to...\' and/or 3rd party actions such as \'zip file with Wi
The key to obtain the Shell Context menu is use the IContextMenu interface.
check this great article Shell context menu support for more details.
UPDATE
for delphi examples you can see the JclShell unit from the JEDI JCL (check the DisplayContextMenu function) and the ShellCtrls unit included in the samples folder of Delphi.