I don't now how much things have changed on Win7, as I'm on ubuntu now.
But in WinXP, whathever you put in the folder:
C:\Documents and Settings\Some User Name\SendTo
Becomes an item in the right-click context menu, under the option 'send to'.
Thus you can put a batch file in it, named, for example, as "My documents (moving)".
So, open notepad and put this as content:
move %1 "%USERPROFILE%\My Documents"
And save it as "My documents (moving).bat" - take care to select "files of type > all files" so the file extension wont be renamed to ".bat.txt"
That's it, you can adapt to your needs and make a link to the batch file instead of putting it directly under the 'send to' folder in order to change the name and icon at will.