This cannot be done with standard Windows functionality. A homemade solution is needed here.
Download Shortcut.zip and extract it to C:\Windows\system32. This program will allow us to create shortcuts.
Create a batchfile called 'sendToExample.cmd' with the following contents, don't forget to change 'targetfolder':
@echo off :: change this to whatever you need set targetfolder=d:\Temp shortcut /f:"%targetfolder%\%~n1%~x1.lnk" /a:c /t:%1 Create a shortcut in your SendTo folder (%APPDATA%\Microsoft\Windows\SendTo) to this batch file.
You're done! Shortcuts will automagically be created!