New shortcut directly on context menu

Hi, to do that I think you'd need a script to handle the task of creating the shortcut and the user prompts which you see with Window's existing feature.

Example (not directly suitable for your use- no prompts):
PowerShell Create Shortcut | New-Object

Then use one of the various utilities you can find to add this to the context menu.

You can't somehow copy the existing feature which is part of the OS.

The relevant registry key is here just for interest:
HKEY_CLASSES_ROOT\.lnk\ShellNew